Wrapp every form item select with div, excluding label
This theme function should do what you need.

function mytheme_select($variables) {
  $element = $variables['element'];
  element_set_attributes($element, array('id', 'name', 'size'));
  _form_set_class($element, array('form-select'));

  return '&lt;div class="custom-select"&gt;&lt;select' . drupal_attributes($element['#attributes']) . '&gt;' . form_select_options($element) . '&lt;/select&gt;&lt;/div&gt;';
}