I usually put it my my 'extras' CSS. Additional or whatever it's called (have done too much xenforo design lately, so I lost the name). Don't use inline styling, it ads more 'junk' to your code and it's 'dirty'.
here's how I set a custom font for my forums
Code:
@font-face {font-family: topcom; src: url('img/com.ttf');}
h1 {font-family:topcom;} /* the element that needs styling */
Hope it makes sense
PS: make sure the font is where it's supposed to be. I usually mess up the path to it and wonder why it doesn't work