Here's an automated approach. (I've also made the code below a plugin.)
Select the font you want to use.
Paste this into Gvim in command mode (to set up the map):
map -- :let @a=&gfn<CR>:e ~/.gvimrc<CR>Go<Esc>"apV:s/ /\\ /g<CR>Iset guifont=
-- (to activate the mapping).
You should now be editing your .gvimrc with your current font set at the bottom. Save the file and open another Gvim to test that it works correctly.
What the mapping does:
:let @a=&gfn<CR> Copy the current font setting into our
:e ~/.gvimrc<CR> Edit our gvimrc (whether it exists or not)
Go<Esc> Add a new line to the end of the file
"ap Paste the font setting
V:s/ /\\ /g<CR> Escape spaces
Iset guifont= Put the set variable text before our setting