A new polar coding scheme for higher order modulation is presented. The proposed scheme is based on multi-level coding (MLC) with natural labeling, where the bit-level corresponding to the sign-bit is generated in dependence on the previous bit-levels, such that the modulated symbols are distributed according to a target non-uniform distribution resulting in a shaping gain. This is realized by replacing the polar encoder in the sign-bit level by a successive cancellation (SC) decoder, such that the overall complexity is not increased compared to a conventional MLC scheme with polar codes. Numerical simulations show significant performance improvements of the proposed approach compared to conventional transmission schemes with uniform symbol distribution. By using more complex decoders (e.g. SC list decoder), the proposed scheme outperforms Gallager's random coding bound.