import matplotlib.pyplot as plt
import seaborn as sns

from matplotlib.lines import Line2D

my_palette = sns.color_palette("cubehelix", 3)
sns.set_palette(my_palette)

def legend_circles(labels, palette, loc=1, markersize=10, marker='o', padding=0):
    "Make a legend where the color is indicated by a circle."
    legend_markers = [Line2D(range(1), range(1),
                             linewidth=0,   # Invisible line
                             marker=marker,
                             markersize=markersize,
                             markerfacecolor=palette[i]) for i in range(len(labels))]
    return plt.legend(legend_markers, labels, numpoints=1, loc=loc, handletextpad=padding)

plt.plot([1,2,3])
plt.plot([0,1,3])
plt.plot([3,2,1])

legend = legend_circles(['a','b','c'], my_palette,loc=0)
plt.show()