You could use exceptions. But you only should use exceptions for stuff that isn't supposed to happen. So not for this.

That is why I recommand signals:

import sys, signal
def signal_handler(signal, frame):
    print("\nprogram exiting gracefully")
    sys.exit(0)

signal.signal(signal.SIGINT, signal_handler)

you should put this on the beginning of your program and when you press ctrl+c wherever in your program it will shut down gracefully

Code explanation:

You import sys and signals. Then you make a function that executes on exit. sys.exit(0) stops the programming with exit code 0 (the code that says, everything went good).

When the program get the SIGINT either by ctrl-c or by a kill command in the terminal you program will shutdown gracefully.

In case you don't want a separate thread for IO, generators may be used to preserve the state of your loop across KeyboardInterrupts.

some_parameter = 1

def do_pid_stuff():
    while True:
        sensor_data1 = 'data'
        sensor_data2 = 'data'
        sensor_data3 = 'data'
        yield 'based on sensor_data1 ' * some_parameter
        yield 'based on sensor_data2 ' * some_parameter
        yield 'based on sensor_data3 ' * some_parameter


stuff = do_pid_stuff()
while True:
    try:
        for control_signal in stuff:
            print(control_signal)
    except KeyboardInterrupt:
        some_parameter = int(input())

So the main loop will continue with new parameters from the last executed yield. This however would require to rewrite your loop. Probably, it should be splitted into a generator that will give you sensor data and into a function that will actually do stuff based on the sensor values.

The last three lines I added will allow you to break out of the loop with any key being pressed. Dont forget the import of msvcrt

import time, win32api
import msvcrt
cursorX = 0
cursorY = 0
while True:
    cursorX, cursorY = win32api.GetCursorPos()
    time.sleep(600)
    cursorX = cursorX + 10
    win32api.SetCursorPos((cursorX,cursorY))
    cursorX, cursorY = win32api.GetCursorPos()
    time.sleep(600)
    cursorX = cursorX - 10
    win32api.SetCursorPos((cursorX,cursorY))
    if msvcrt.kbhit():
        if ord(msvcrt.getch()) != None:
            break

There is a solution that requires no non-standard modules and is 100% transportable:

import _thread

def input_thread(a_list):
    raw_input()             # use input() in Python3
    a_list.append(True)
    
def do_stuff():
    a_list = []
    _thread.start_new_thread(input_thread, (a_list,))
    while not a_list:
        stuff()