With Python older than 2.7/3.1, that's pretty much how you do it.
For newer versions, see importlib.import_module for Python 2 and Python 3.
You can use exec if you want to as well.
Or using __import__ you can import a list of modules by doing this:
>>> moduleNames = ['sys', 'os', 're', 'unittest']
>>> moduleNames
['sys', 'os', 're', 'unittest']
>>> modules = map(__import__, moduleNames)