Emacs/OSX Default font setting does not persist

Try M-x customize-face RET default, adjust to your liking, then 'Save for future sessions'.

Edit: For example, that adds the following stanza to my (custom-set-faces) in .emacs:

(custom-set-faces
  '(default ((t (:inherit nil :stipple nil :background "White" :foreground "Black" :inverse-video nil :box nil :strike-through nil :overline nil :underline nil :slant normal :weight normal :height 130 :width normal :family "Consolas"))))
  ...

If all you want to so is set the font size & family (13pt Consolas in this example), this appears to be sufficient:

  '(default ((t (:height 130 :family "Consolas"))))

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