There are three places to set font according to requirement/choice in DataGridView for WinForms. All these can be accessible via Properties window at Design time as well as we can set their properties at run time.
ColumnHeaderDefaultCellStyle: For changing Font related properties of Grid Column Headers.
dataGridView1.ColumnHeadersDefaultCellStyle.Font = new Font("Georgia", 12);
RowHeaderDefaultCellStyle: For changing Font related properties of Grid Row Headers.
dataGridView1.RowHeadersDefaultCellStyle.Font = new Font("Georgia", 10);
DefaultCellStyle: For changing Font related properties of Cells in the Grid.
dataGridView1.DefaultCellStyle.Font = new Font("Georgia", 9);
In properties window, you can find these options to on the selection of DataGridView control on form.
Good Luck