http://www.fontsquirrel.com/fontface/generator

or alternatively (some screens might display some fonts quite ugly with CSS embedding):
http://cufon.shoqolate.com/

With font squirrel, what do I do from there?

I assume copy the "style sheet" CSS document I got into my main page?

Download the @fontface-kit.

Inside the fontface-kit folder copy and put the fonts in a folder called 'fonts'.

From the css folder copy and paste the @fontface code and put it in your css.

Here is one I prepared earlier:
@font-face {
font-family: 'ChunkFiveRegular';
src: url('fonts/Chunkfive-webfont.eot');
src: url('fonts/Chunkfive-webfont.eot?#iefix') format('embedded-opentype'),
url('fonts/Chunkfive-webfont.woff') format('woff'),
url('fonts/Chunkfive-webfont.ttf') format('truetype'),
url('fonts/Chunkfive-webfont.svg#ChunkFiveRegular') format('svg');
font-weight: normal;
font-style: normal;
}


Then in your css call the font:
h1, h2, h3{font-family: 'ChunkFiveRegular', Arial, sans-serif;}

Im sorry Im a bit of a newb,

The first part I put in "customize them" "Add your CSS" section

And where do I put the second part? Anywhere I want the font to display?

Correct?

In your theme create a new folder called 'fonts'.

Paste the fonts you got from fontsquirrel into the fonts folder (font.eot, font.svg, font.ttf, font.woff).

In your theme css paste the fonts, example below:

@font-face {
font-family: 'ChunkFiveRegular';
src: url('fonts/Chunkfive-webfont.eot');
src: url('fonts/Chunkfive-webfont.eot?#iefix') format('embedded-opentype'),
url('fonts/Chunkfive-webfont.woff') format('woff'),
url('fonts/Chunkfive-webfont.ttf') format('truetype'),
url('fonts/Chunkfive-webfont.svg#ChunkFiveRegular') format('svg');
font-weight: normal;
font-style: normal;
}

Then add the call to your font, example below:
h1, h2, h3{font-family: 'ChunkFiveRegular', Arial, sans-serif;}
Which means any of the top three heading tags will have the new font!

This has nothing to do with the 'customize' theme button from dashboard.

Anyone?