Ah, I like this feature!
Options -> SoundFonts
Here you select which soundfonts you want to use in your project. Double-click on a row (or press "attach") to open a file browser. Locate the soundfont you want to use and "open" it.
You have now loaded a soundfont to your SB-card's RAM. Yay!
When you have imported the soundfont(s) you want to use, click on the MIDI symbol next to the name of the MIDI track you wish to apply it to (in arrange view). A dialog window will show up. Select "Output: SoundFont Device", "Bank Select Method: Controller 0", and pick your soundfont bank in "Bank".
HTH