I\'m using Emacs 23.2. When I change the default font using Options --> Set Default Font... it correctly switches to the font that I select. I then do Options --> Save Options t
Only way I got it to work was to modify manually the .emacs file:
(custom-set-faces '(default ((t (:height 150 :family "Menlo")))) )
PS: I'm on Yosemite