I found several posts how to use external fonts on Sony devices, but there was no instructions for the Opus users. So, this thread is for the Opus users who want to use external fonts (I slightly edited my initial post for more clarity).
The main advantage of external fonts is that you can produce your epub files simply by pasting some css definitions in Calibre. There is no need to edit epubs afterward.
The advantage of embedded fonts is that ADE, Opus and some other devices will use them instead of the default fonts. The disadvantage is more file editing and copying of fonts in each epub file. If you want to embed fonts after Calibre conversion you can read this thread:
https://www.mobileread.com/forums/showthread.php?t=61587