There are two ways:
1. Typekit. Unfortunately, I don't know anything about this, so you will need to follow
. I do know it will give you a script which you'll load into Dashboard > PageLines > Site Options > Typography. The fonts should be FTP'd to the WP root.
2. Cufon. There's a link to the Cufon site right there on Typography. You'd also get code from there.... upload your fonts to the WP root and paste the code in the Dashboard > PageLines > Site Options > Custom Code under Header Scripts.
Under Typography, you will select the tag to which the cufon font will be applied, like <h1>.
With either of these, you will not see the fonts in any drop downs or as selections in the pages or posts. The way to apply is to use whatever tag was selected for application.