Here is a function I wrote that hooks into the gravity forms create user form but it can be added to whatever action hook your wp_create_user function is attached to.
function my_auto_login( $user_id ) {
wp_set_auth_cookie( $user_id, false, is_ssl() );
wp_redirect( admin_url( 'profile.php' ) );
exit;
}
The important part is wp_set_auth_cookie
. This has to fire after the user is the best (only?) way to auto login a user without filling out the login form.