Nginx has to be compiled with http://wiki.nginx.org/NginxHttpHeadersModule. Then you can do this:

server {
  location ~* \.(eot|ttf|woff)$ {
    add_header Access-Control-Allow-Origin *;
  }
}

Or inside virtual host location use:

location {
  if ($request_filename ~* ^.?/([^/]?)$) {
    set $filename $1; 
  }

  if ($filename ~* ^.*?\.(eot)|(ttf)|(woff)$) {
    add_header Access-Control-Allow-Origin *;
  }
}

Labels: CSS, nginx