FOR VERSION 3.0.9 OR EARLIER ONLY
This is pretty straight forward.
1. In your Wordpress Dashboard on the left side click on 'Custom Fontsets -> Add New'
2. Leave everything as it is and just enter your fontname in the weight you want to add for example if you want to add 'Arial Bold', just type 'Arial' (without the single quotes) in the fontname field. In the italic weight please only add the font name like in the normal field, the theme will automatically include the italic version.
Note: This only works for supported weights of the font itself. If you add for example 'Arial' in the 'Semibold' weight it won't work because there is no Arial semibold weight. (at least not in the standard windows systemfonts)