Stackoverflow gave some ideas, and the best method I found is this:
1. Convert font file to TTF using this online tool: http://www.freefontconverter.com/
2. Add the TTF files to your project
3. Make some configurations to your info.plist file:
3.1 Edit info.plist as source code (right click on file -> open as -> source code)
3.2 Add this:
<key>UIAppFonts</key>
<array>
<string>font1.ttf</string>
<string>font2.ttf</string>
...etc...
</array>
3.3 Your info.plist should have this now:
4. Use the new fonts just like the system fonts:
[UIFont fontWithName:@"font1" size:16.0];
(Notice no ".ttf" in the font name)
Good luck using your own fonts in your iphone app!