Custom fonts work nicely with fetched news from calibre, but interestingly not with reconverted epubs from feedbooks.com - "invalid page" is displayed on the sony.
There's probably some way of putting the CSS in the calibre recipie; I've just been reconverting the fetched epub until I figure that out.
For people having trouble with getting custom fonts working at all, I've had some success pasting the book in to:
http://tinymce.moxiecode.com/examples/full.php then copying it to word and saving as RTF. Also if the conversions were slow, doing this speeds them up. You'll loose links but keep your formatting.