Drupal 7 subtheme location best practice
Themes should be stored in sites/all/themes, not sites/all/modules.

You could certainly add your custom theme to sites/all/themes/custom, but what I do is just add my custom theme(s) to sites/all/themes directly.  I do this because I name my custom themes for the sites I am working on, so it's very clear that the particular theme is specific to the site.

The other reason I don't think a /custom directory is necessary is because, unlike modules, one generally only has five or six themes (at most) installed on a single site.  So there is far less possibility for confusion.