1. Download and unzip the Cufón module in <drupal_root>/sites/all/modules
2. Enable the Cufón module and download the cufon-yui.js to <drupal_root>/sites/all/modules/cufon/js
3. Generate the <font>.js file @ Cufón
4. Upload the generated <font>.js to your theme folder.
Update @ 2011-08-25: Please note that some fonts are unable to render characters like Chinese. In that case, no text will be shown in the browser. I have spent more than an hour today to check the missing text issue today… what da fuck…
Reference: Drupal Module – Cufón