I recently needed to work with Unicode and multi-byte characters in my code. The following configuration worked great for me. Most of it appears in the VIM wiki, and then I set the guifont properties.
if has("multi_byte")
if &termencoding == ""
let &termencoding = &encoding
endif
set encoding=utf-8
setglobal fileencoding=utf-8 bomb
set fileencodings=ucs-bom,utf-8,latin1
set guifont=Lucida\ Console:h11
set guifontwide=NSimSun:h14
endif
You may want to play around with the fonts and sizes to suit your needs. Remember to escape the spaces in font names.