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I recently added plot_cumulative_gain and plot_lift_curve methods to https://github.com/reiinakano/scikit-plot. To do this, I built an adhoc version of cumulative_gain_curve closely following the sklearn.metrics.roc_curve interface at https://github.com/reiinakano/scikit-plot/blob/master/scikitplot/helpers.py#L157. Let me know if sklearn.metrics.cumulative_gain_curve is something you'd be interested in adding into scikit-learn. I could add example docs for plotting gain and lift curves as well.
Reference I followed for lift and gain: https://www.ibm.com/support/knowledgecenter/en/SSLVMB_23.0.0/spss/tutorials/mlp_bankloan_outputtype_02.html
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