The zoom is being saved since about 2 weeks.
It is not perfect insofar as if you change zoom in one tab, then it does not update all others (this would be intuitive, but wxScintilla makes it particularly difficult to do that).
Open a file and zoom in/out using Ctrl-Key and mouse wheel as usual. All files that you open after this will open with the zoom that you have set. Code::Blocks remembers the value after an application restart.