It is slightly more costly, but not to an extent you are likely to care. You can negate this extra cost by doing:
from module import Class
As then the class will be assigned to a variable in the local namespace, meaning it doesn't have to do the lookup through the module.
In reality, however, this is unlikely to be important. The cost of looking up something like this is going to be tiny, and you should focus on doing what makes your code the most readable. Split classes across modules and packages as is logical for your program, and as it keeps them clear.
If, for example, you are using something repeatedly in a loop which is a bottleneck for your program, you can assign it to a local variable for that loop, e.g:
import module
...
some_important_thing = module.some_important_thing
#Bottleneck loop
for item in items:
#module.some_important_thing()
some_important_thing()
Note that this kind of optimisation is unlikely to be the important thing, and you should only ever optimise where you have proof you need to do so.