Just download and put into your ~/.fonts dir and run fc-cache -vf
If you're using urxvt add something like this to your ~/.Xresources or ~/.Xdefaults:
URxvt*font: xft:Monaco for Powerline:regular:size=8 URxvt*imFont: xft:Monaco for Powerline:regular:size=8 URxvt*boldFont: xft:Monaco for Powerline:bold:size=8 URxvt*italicFont: xft:Monaco for Powerline:italic:size=8 URxvt*boldItalicFont: xft:Monaco for Powerline:bold:italic:size=8
Make sure to run xrdb -merge ~/.Xresources
afterwards and close all urxvt terminals.
Ok I finally changed font (Menlo for Powerline found here: https://gist.github.com/1595572), which contains a lot more chars, making my vim and zsh looking fine. Your procedure is great, it would be nice for next urxvt users to have it included in vim-powerline doc or wiki