You'd edit the files in ~/.config/geany/filedefs, copying from /usr/share/geany where necessary.
For example, I like """ and ''' to be styled as strings, even though they are used a lot for documentation comments. So I copied /usr/share/geany/filetypes.python to ~/.config/geany/filedefs/filetypes.python and changed:
So both triple-quotes are now styled as strings. Then I change the style with filetypes.common:
So the standard approach is to use the definitions in filetypes.common to create named styles and associate colours and text attributes with those. Then refer to those named styles in the filetypes.python file to style specific aspects of Python code. I've used existing named styles but you can create additional ones -- with the risk of creating a confusing colour scheme if you create too many.
You can also break from this standard approach and style directly in the filetypes.python file.
Beyond that, you'll have to read the documentation and experiment.