The guide I wrote refers to changing fonts for the LRF rendering engine which is completely different from the EPUB rendering engine. For changing epub fonts system-wide on Sony Readers, see this thread
What you're asking is if you can embed fonts into the epub file with Sigil: you can't. Not yet at least. It was planned for v0.1.0, but was dropped because of a bug in the Qt framework Sigil uses (you can track the issue
for this). Hopefully Nokia will fix this bug for Qt 4.6 (which should be out by the end of the year) and then I can implement this feature.
Actually a lot of work was done on this already, but it's unused because as I've mentioned, the Qt bug causes random crashes when multiple local fonts are used in one WebKit instance.