A proven MVD script:

procedure Form1_OnShow (Sender: string; Action: string);
begin
    Form1.GridEmployees.Font := LoadFont;
end;

procedure Form1_Button5_OnClick (Sender: string; var Cancel: boolean);
var    FontDialog: TFontDialog;
begin
    FontDialog := TFontDialog.Create(Form1);
    FontDialog.Font := Form1.GridEmployees.Font;
    if FontDialog.Execute then
    begin
        Form1.GridEmployees.Font:= FontDialog.Font;
        Form1.GridEmployees.dbUpdate;
        SaveFont(Form1.GridEmployees.Font);
    end;
end;

procedure SaveFont(Font: TFont);
var   reg: TRegistry;
begin
     reg := TRegistry.Create;
     reg.Access := KEY_ALL_ACCESS;
     reg.RootKey := HKEY_CURRENT_USER;

     if reg.OpenKey('software\YourProjectName', true) then
     begin
          Reg.WriteString('Font.Name', Font.Name);
          Reg.WriteInteger('Font.Size', Font.Size);
          Reg.WriteBool('Font.Style.fsBold', fsBold in [Font.Style]);
          Reg.WriteBool('Font.Style.fsItalic', fsItalic in [Font.Style]);
          Reg.WriteBool('Font.Style.fsUnderline', fsUnderline in [Font.Style]);
          Reg.WriteBool('Font.Style.fsStrikeOut', fsStrikeOut in [Font.Style]);
          reg.CloseKey;
     end;

     reg.Free;
end;

function LoadFont: TFont;
var   reg: TRegistry;
begin
     result := TFont.Create;
     reg := TRegistry.Create;
     reg.Access := KEY_ALL_ACCESS;
     reg.RootKey := HKEY_CURRENT_USER;

     if reg.OpenKey('software\YourProjectName', true) then
     begin
          if reg.ValueExists('Font.Name') then result.Name := Reg.ReadString('Font.Name');
          if reg.ValueExists('Font.Size') then result.Size := Reg.ReadInteger('Font.Size');

          if reg.ValueExists('Font.Style.fsBold') then
              if Reg.ReadBool('Font.Style.fsBold') then result.Style := result.Style + fsBold;
          if reg.ValueExists('Font.Style.fsItalic') then
              if Reg.ReadBool('Font.Style.fsItalic') then result.Style := result.Style + fsItalic;
          if reg.ValueExists('Font.Style.fsUnderline') then
              if Reg.ReadBool('Font.Style.fsUnderline') then result.Style := result.Style + fsUnderline;
          if reg.ValueExists('Font.Style.fsStrikeOut') then
              if Reg.ReadBool('Font.Style.fsStrikeOut') then result.Style := result.Style + fsStrikeOut;

          reg.CloseKey;
     end;

     reg.Free;
end;

JB