Found this python example (link) from a quick google search:
# When the window is requested to be closed, we need to check if they have
# unsaved work. We use this callback to prompt the user to save their work
# before they exit the application. From the "delete-event" signal, we can
# choose to effectively cancel the close based on the value we return.
def on_window_delete_event(self, widget, event, data=None):
if self.check_for_save(): self.on_save_menu_item_activate(None, None)
return False # Propogate event
Hopefully this helps.