In your stylesheet, you should see this:
/*-------------------------------------------------------------------------------------------*/
/* 1. SETUP */
/*-------------------------------------------------------------------------------------------*/
body {background:#e4e2db;color:#555;font:12px sans-Serif;}
input,select,textarea {border:#cacaca 1px solid;font-size:12px;padding:5px; }
select,#nav{padding:0;}
hr { background-color: #e6e6e6; border:0; height: 1px; margin-bottom: 20px; }
/* Typography */
h1, h2, h3, h4, h5, h6 { margin: 0; font-family:"Droid Serif", Georgia, serif; color: #222; font-weight:normal; }
h1 {font-size: 2em } h2 {font-size: 1.8em;} h3 {font-size: 1.6em;} h4 {font-size: 1.2em;} h5 {font-size: 1em;} h6 {font-size: 0.8em;}
p {margin: 0; }
input, textarea { color:#777; padding: 5px; border-color: #ccc #efefef #efefef #ccc; border-width:1px; border-style:solid; border-radius: 3px; -moz-border-radius: 3px; -webkit-border-radius: 3px;}
/* Hyperlinks */
a {color:#e8a02c;text-decoration:none;}
a:hover,#top .subscribe a:hover,.author_info a:hover{text-decoration:underline;}
h1 a:link, h1 a:visited, h2 a:link, h2 a:visited, h3 a:link, h3 a:visited,
h4 a:link, h4 a:visited, h5 a:link, h5 a:visited, h6 a:link, h6 a:visited { text-decoration: none; }
h1 a:hover, h2 a:hover, h3 a:hover, h4 a:hover, h5 a:hover, h6 a:hover {text-decoration: underline;}
That's where you would adjust the font settings for the theme. As far as custom fonts go, cufon used to be the way to go, but nowadays, it seems that embedding fonts via google fonts is the way to go.
As far as embedding it, all you'd need to do is pick a font and add this:
<link href='http://fonts.googleapis.com/css?family=Spinnaker' rel='stylesheet' type='text/css'>
between <head> and </head> in the header.php file for the theme. Then you could adjust the font settings for whatever you wanted to use that font with like so:
/* Typography */
h1, h2, h3, h4, h5, h6 { margin: 0; font-family:"Droid Serif", Georgia, serif; color: #222; font-weight:normal; }
h1 {font-size: 2em } h2 {font-size: 1.8em;} h3 {font-size: 1.6em;} h4 {font-size: 1.2em;} h5 {font-size: 1em;} h6 {font-size: 0.8em;}
p {margin: 0; font-family: 'Spinnaker', sans-serif;}
Note: "Spinnaker" is the font I chose, so you'd need to replace that in both sections above to see your font that you choose.