First of all, please make sure the font have permissions to be used on web. And then, you can convert your font into a web-font by using a tool like http://www.font2web.com/
Please supply necessary parameters by using the form on your WordPress admin dashboard (Custom Fonts > Custom Fonts > Add New)
when you save your custom font, will be available for selection on Theme Options panel (if available) or in Live Customizer.
Note : Please mare sure you have given correct Font Identifier as font’s real name to make sure it is working as expected.