You have to root your device to change font. Flyme does not support it natively right now. However, if you want this feature then please make a suggestion in the suggestions section.

Need rooted.

You need to change it?
You can:
1.Root your phone
2.to play store
3.downlaod font (ifont)
4.download font for you like.
5.installed this font.
6.your phone will restart automatic. you will has got font for you like .

root phone
install ifont from playstore