To use custom Google Web Fonts, go to google.com/webfonts and pick your font.
Click on the "Quick Use" button.
Choose the styles that you want, including bold or italics if you would like those too.
Next, select the standard code for the font.
When you copy the code you will end up with the full URL, but you only need to enter the font part into your Theme Settings.
For example, Montserrat:400,700
Finally, select 'Custom' and the template will do the rest.
If you are using a font with spaces in the name, such as Shadows Into Light Two, your settings will need to look something like this:
Remember that if you choose a font without an italic or bold option, but include italic and bold text in your store, the browser you use will have to simulate the italic or bold version of the font. This could mean that the results differ depending on the browser used to view your store.