Ubuntu 14.04 LTS
:/$ cd etc/vim/
:/etc/vim$ sudo gvim gvimrc
After if - endif block, type
set guifont=Neep\ 10
save the file (:wq!). Here "Neep" (your choice) is the font style and "10" is respect size of the font. Then build the font - cache again.
:/etc/vim$ fc-cache -f -v
Your desired font will set to gvim.