How to save font settings in Notepad++

As @mikez302 said in a comment above, run as administrator. Then make your style changes via Settings/Style Configurator. There is no need to edit these files manually.

As of v5.8.6, theme files are stored under %PROGRAMFILES(x86)%. Vista/Win7 will refuse to write to this directory when the application is not run as Administrator. Furthermore, it appears that "Global Override" settings get saved into the active theme file. Hopefully future versions of Notepad++ will store these user-specific theme settings under %APPDATA% as the Windows paradigm intends.

Head over to Settings / Style Configurator. Select the font name and enable checkbox against Enable global font. Click on Save & Close.

Also: Have a look at @zourtney's answer. You should run Notepad++ as Administrator to keep your changes