Make sure you have the prerequisite SELinux utilities:
yum install selinux-policy-devel
Then as root, just do
make -f /usr/share/selinux/devel/Makefile dockersock.pp
to install SELinux policy module
semodule -i dockersock.pp
to reload SELinux policy module
semodule -R
Should you ever wish to remove the module, do
semodule -r dockersock
docker run -d --security-opt label:type:container_sock_t --name centos centos sleep infinity