You want to iterate through the result of split():
Code:
>>> from string import *
>>> def acro(phrase):
... result = ""
... for word in split(phrase):
... result += word[0].upper()
... return result
...
>>> acro("hello python how are you")
'HPHAY'
I'm a Python newbie so there may be 100 different and better ways to do acronyms, but there's my take at least.