I am thinking of embedding custom fonts into my web templates but I do not know if this is safe? What would you advice?
Don't. It's not supported, unless you use sIFR, whicih involves using a combination of Flash and JavaScript.
I also advise against it, support is spotty if nonexistant cross-browser - and frankly it's a level of bloat that you really don't need, we get enough bloat from images without tossing fonts into the mix.
It's not worth the extra file size and it's not well supported. Unless there's some reason why you need a special font, I'd say don't try embedding.