Script to create a customized, efficient adblocking hosts file
Overall, this is pretty good, but all code can be better! A few suggestions:


There aren’t any docstrings telling me what a function does, or what it returns. With a small codebase like this, it’s fairly easy for me to just read the code, but it’s a good habit to get into.
I’m nitpicking, but module imports should really be alphabetically ordered. It’s not so much of a problem for short scripts like this, but it’s really useful in large codebases.
In the get_ad_dmns() function, you create the entries list by iterating over urllib.request.urlopen(src), then immediately iterate over the list. Could you skip creating the list? i.e.

for line in list(urllib.request.urlopen(src)):
    entry = line.decode('utf-8')
    # rest of the code here


I think that might be a little simpler and more memory efficient.
Rather than using dmns as an abbreviation for domains, just use the full name. Characters are cheap, and it makes your code easier to read.
In get_cur_dmns(), rather than using open(myfile) ... close(myfile), the more idiomatic construction is:

with open('hosts'() as hosts_file:
    for entry in hosts_file:
        # do stuff with the entry


Ditto for write_hosts_file().
In your main() function, the dmns_to_add list comprehension is just a little hard to read. I’d suggest adding an extra line break for the not in cur_dmns line to make it easier to read.