First, copy ipy.vim plugin to vim plugin folder:

$ cp /usr/lib/python2.5/site-packages/ipython-0.9.1-py2.5.egg/share/doc/ipython/examples/core/ipy.vim ~/.vim/plugin/

In ~/.ipython/ipythonrc, write:

editor gvim

Next:

$ ipython
In [1]: import ipy_vimserver
In [2]: ipy_vimserver.setup("session1")
In [3]: %vim

In GVim:

<F5> => execute buffer code content in ipython session