Best practice is to download the file settings-init.php, make changes and upload it back.
1. Download woocommerce/admin/settings/settings-init.php (plugins folder)
2. Code to add currency starts between Line 45 to 72
3. Now add this line in suitable position 'INR' => __( 'Indian Rupee (& # 8377;)', 'woocommerce' ),
[HTML code &#.. should be without spaces]
4. Save & Upload to woocommerce/admin/settings folder
Note : & # 8377; is the HTML code for new Indian Rupee Sign