How to customise cost function in Scikit learn's model？
There are several ways in which you can achieve your desired result:


Implement the make_scorer function from Scikit learn
Make modification to the class_weight argument


In regards to your SVM question take a look at the below code:

 class sklearn.svm.SVC(C=1.0, kernel='rbf', degree=4, gamma=0.0,
 coef0=0.0, shrinking=True, probability=False, tol=0.003,
 cache_size=300, class_weight=None, verbose=False, max_iter=-1,
 random_state=None)


In the above example, the class_weight function can be changed to 'auto' or you can pass dictionary values which have the user-defined class weights.