There is a specific 'gnuplot' package in octave-forge.
Another option is to
1) export to an epslatexstandalone file: this generate an .ltx and an .eps file
2) edit the eps auxiliary file: at the beginning, you have a few options to change linestyle and the like. Convert to pdf with epstopdf
3) edit the LaTeX file, change the base font, axis text, style, ... at your liking
4) generate the pdf file corresponding to the image
3) in your favorite text editor, import this 'image' inside a frame of 3/4 aspect ratio, or better 10/16.18 (golden ratio)