import praw
import pprint
import json

filename = 'user.subs'
user_agent = 'test-py'
client_id='xxx'
client_secret="xxx"
username='xxx'
password='xxx'

reddit = praw.Reddit(user_agent=user_agent,
                     client_id=client_id, client_secret=client_secret,
                     username=username, password=password)

try:
    x = reddit.user.me()
    my_subs = set()
    for sub in reddit.user.subreddits(limit=None):
        my_subs.add(str(sub))
    pprint.pprint(my_subs)

    fh = open(filename, 'w')
    subs = sorted(my_subs, key=str.lower)
    json.dump(subs, fh, indent=2)
    fh.close()
except Exception as exc:
    pprint.pprint(vars(exc))