Set page template and create a page, not a post

<?php
// http://www.gravityhelp.com/forums/topic/automatic-sign-up-page-generating-a-new-web-page-or-post#post-179371
// the 10 (priority), 2 (arguments) is documented here http://codex.wordpress.org/Function_Reference/add_filter
// change the 5 here to your form ID
add_action('gform_after_submission_5', 'update_page_settings', 10, 2);
function update_page_settings($entry, $form){

    // get the post
    $post = get_post($entry['post_id']);

    // create a page, not a post
    $post->post_type = 'page';

    // set the page template
    update_post_meta($post_id, '_wp_page_template', 'template-my-form.php');

    // update the post
    wp_update_post($post);
}