Using Local (private) DNS server on Lollipop
You can modify the network config to set a specific DNS value.  Find the WiFi network you are connected to, press and hold on the name of the netowrk->Modify Network Config->Show Advanced Options.  From here you can set a specific DNS, after changing the IP Settings to static.

I believe that most devices look at the DHCP for a DNS server, with a google IP as a backup.

There are some handy apps (must be purchased though) that allow you to only change your DNS but keep your IP address dynamic, based on DHCP.  Overrride DNS