In the 2d case, something similar can be done with the below code:
from dolfin import *
from mshr import *
outer_circle = Circle(Point(0., 0.), 20.)
inner_circle = Circle(Point(0., 0.), 10.)
outer_circle.set_subdomain(1, inner_circle)
mesh = generate_mesh(outer_circle, 20.)
plot(mesh, interactive=True)
cf = MeshFunction("size_t", mesh, 2, mesh.domains())
plot(cf, interactive=True)
However, in the 3d case this is not possible with the latest releases of the mshr library (including the development version) becasue subdomains are currently supported only in 2d.
Apparently this feature will be supported in the next releases of mshr (see Issue #9 and Issue #10 for more details).
Edit: Maybe a solution for now is to use external softwares and/or libraries for this purpose.