tz info lost when creating multiindex
see http://stackoverflow.com/questions/17159207/change-timezone-of-date-time-column-in-pandas-and-add-as-hierarchical-index/17159276#17159276

```
dat = pd.DataFrame({'label':['a', 'a', 'a', 'b', 'b', 'b'], 'datetime':['2011-07-19 07:00:00', '2011-07-19 08:00:00', '2011-07-19 09:00:00', '2011-07-19 07:00:00', '2011-07-19 08:00:00', '2011-07-19 09:00:00'], 'value':range(6)})
dat.index = pd.to_datetime(dat.pop('datetime'), utc=True)
dat.index = dat.index.tz_localize('UTC').tz_convert('US/Pacific')

dat
                          label  value
datetime
2011-07-19 00:00:00-07:00     a      0
2011-07-19 01:00:00-07:00     a      1
2011-07-19 02:00:00-07:00     a      2
2011-07-19 00:00:00-07:00     b      3
2011-07-19 01:00:00-07:00     b      4
2011-07-19 02:00:00-07:00     b      5
```

If we add another index (we lose the tz):

```
In [14]: dat.set_index('label', append=True).swaplevel(0, 1)
Out[14]:
                           value
label datetime
a     2011-07-19 07:00:00      0
      2011-07-19 08:00:00      1
      2011-07-19 09:00:00      2
b     2011-07-19 07:00:00      3
      2011-07-19 08:00:00      4
      2011-07-19 09:00:00      5
```
