(* I want an order where the odd numbers come first! *)
module IP = struct
   type t = int
   let compare x y = let o x = x land 1 in
      if (o x) = (o y) then x-y else (o y)-(o x)
end;;

module IS = Set.Make(IP);;
let ss = ref IS.empty;; 
for i=0 to 10 do ss := IS.add i !ss done;;
IS.elements !ss;;
(* - : IS.elt list = [1; 3; 5; 7; 9; 0; 2; 4; 6; 8; 10] *)