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If you want help you should always paste a working example. Here are some untested (untestable) tips:

With http://trac.sagemath.org/14664 you might want to try plot(..., typeset='latex').

Apart from that, you can change matplotlib defaults:

from matplotlib import rc, rcParams
rc('text',usetex=True)
rc('font',**{'family':'serif','serif':['Computer Modern']})