Cufon is rendered with javascript, search engines will only see the HTML code for the headings, so does not really affect SEO.
https://www.google.com/search?q=cufon+seo
Having said that, I wouldn't use Cufon again, as
Google fonts are a better solution for custom fonts and hosted on the Google CDN (until they decide to pull the plug as they're doing with Google reader
)