How do I use different fonts like this one 𝖛𝖔𝖑𝖚𝖒𝖊 in my folders and desktop texts?

You can't change the fonts used for file and folder names or other parts of the OS user interface. To ask Apple to add that feature, you can go to

Product Feedback - Apple

When writing text in an app, you can change fonts by using the font menu which may be provided (e.g. Format > Font > Show Fonts).

Your particular example, 𝖛𝖔𝖑𝖚𝖒𝖊, is only accidentally a font change. This name is actually in a totally different Unicode character range, Math Alphanumeric Symbols (U+1d400 onward) which just happens to look the same as English, but could just as well be Chinese from a computing point of view. Letter by letter is the only way to make that kind of character range change.

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rogerio177 wrote:

Since these do not match the actual fonts, they won't show in any search,

The fonts themselves don't matter, but the characters do. While those names look like English words, the computer sees them as a string of math symbols. You should be able to search for them if you use the exact same characters in the search field as in the file name.