Importing the font file into Sigil is just like importing any other file. Simply use Add Existing. The issue is then creating the CSS to use the font and then using that css in the right places.
There is a very nice plugin that handles the proper CSS creation:
It can be found here in our Plugin Index:
https://www.mobileread.com/forums/sh...0&postcount=17
The font file itself should be an otf or ttf font file (as Windows has issues with some lesser used font file types). And of course, if you are going to publish your epub, you must have the license/permission to use that font commercially or use an open source font file that has no restrictions on redistribution.
Sigil will also allow you to obfuscate your font for its protection, and there are plugins to strip down the font file to just the set of characters actually used in the book to both limit file size and to again help protect the font from being stolen or misused by limiting the text it can be used on.