The module (i.e. the source files) as well as the __init__.pyneeds to be placed in <path_to_your_package>/src/<your_package> (at least by convention and as explained in the documentation, it might work another way).
The setup.py needs to be in <path_to_your_package>.
Then catkin_python_setup should be able to find everything correctly and, hopefully, you should be able to import everything properly.