It really depends on the system call and on the hardware.
The overhead of making a syscall is not very big! this gives less than a microsecond (i.e. a hundred processor clock cycles). Some syscalls are using vdso(7) to reduce that overhead.
However, for a given syscall, the kernel is doing some work. Depending on the actual involved syscall, this may take a lot of time.
For setsockopt(2) it should depend on which options you are setting.
In general, Linux socket implementation is quite good, and most of the time is spent on the actual network (i.e. Ethernet, etc....).