As of this posting your selected typeface, FontAwesome , contains 3,332 different glyphs. You are more than correct to assume that loading this file five times over will take up some serious system resources.
However…
Often when using a webfont for icons, we only use a portion of the many icons defined in the font. If you are only using three or four glyphs from FontAwesome, then loading those five times should be a light-as-a-feather job for your system.
How to do this? Use a font-subsetting service. Free and easy-to-follow instructions on their sites. There are several, but personally I've had success with fontello: http://fontello.com
I have subsetted (verb?) about 20-25 icons from FontAwesome (more than I needed) to provide simple icons on my site, and the file sizes are under 60KB, collectively.
And of course, the reason we load these five times over? To maximize cross-browser compatibility. Plain and simple. This does it.