For both options you would need to extend core views (read about extending in the documentation).
For option A, you can use FontSquirrel and extend 'css/elgg' view. For option B, you can insert <link> to a view that extends 'page/elements/head'
You can use fontface and cufons too. If you are using google fonts, use a fallback too for loading your site fine in countries where google servers are blocked. Personaly we support cufons, though its little outdated.
The views you need to extend are the same mentioned by Ismayil.
Thanks! I'll look into this tomorrow. Today I've started to create a custom theme. So far so good!
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