HR aren't your friend here. They exist to protect the organisation, not the employee.
What are you trying to achieve? If you think you need a paper trail - are you likely to sue them for unfair dismissal or the like? then yes, by all means, get it logged with HR. It will make them a lot more likely to pay you loads to go away if their own systems show they're in the wrong.
Are you trying to make the organisation less sexist? That's hard. I would say either get a very, very senior sponsor. Think CEO or one of their direct reports. Or work on your immediate team - talks with your manager and peers. Humour can go a long way if you make it something they can laugh at with you. The goal being that you grow enough allies that you're not the one complaining you keep being interrupted in meetings, never get promoted etc - that one of the blokes does it on your behalf. But don't we all have enough on our plates with the day job and surviving sexism without changing entire cultures on top of everything.
Personally I'd polish the CV and start looking elsewhere. They might eventually have a come to Jesus moment when all their women employees vote with their feet. It's more likely that they won't, though. They'll think of it as being such a special industry / workplace / whatever that only the really tough, meaning the men, survive. But you won't care, it won't be your problem any more.
Or - you could take the view that it's a paycheck and nothing more. They insult you, and you pay them back by doing the absolute minimum. And leave them a nice long review on Glassdoor. I wouldn't do it personally because you only have one life, why waste it with losers? but if you have good reasons to stay, eh. Who's to judge.
One last thing, are you the only woman there? If not I'd try to cultivate friendships. You can put your heads together on how to move forward, or more practically, it can make a world of difference to have friends in the workplace.
Good luck...