You need to open a new Visio and set the font before adding anything to the file, even before placing a text label. How: Close all Visios you may have open, then open one Visio to a blank canvas. Set your font on the toolbar. Save and close the file. Open an existing Visio and start typing a label - it should have the change. If not, press Ctrl+A to select everything, then Ctrl+X to cut. Open the Visio you saved and close the old one. In the new Visio, press Ctrl+V to paste and it should adhere to the changed font, at least it did for me after all this. There's no menu option or anything to get it to do it automatically in 2003. Visio 2007 has themes for this purpose. Good luck.
-Tom
