You could look at UIManager. Swing uses the properties here, such as Label.font, to get default fonts. So you could do:
Font font = // create font
UIManager.put("Label.font", font)
Make sure you change these before any components are created, or you'll get some with the correct font, others without. Here's a program that will show you the default properties that are in the UIManager. Anything ending with .font is what you're looking for.
Another approach would be to create a utility class that will create components with your own defaults:
public class MyComponents {
    public static final Font LABEL_FONT = // create font
    public static JLabel createLabel(String text) {
        JLabel label = new JLabel(text);
        label.setFont(LABEL_FONT);
        return label;
    }
}
If this is a new application without a lot of components, I recommend the second approach. If it's an old application with lots of component generation spread out everywhere, the first approach will be less time-consuming, but still the second approach would probably be better.