I don't know how to (or if there is a way to) do it using the LNP UI, but here is how to set the tileset by hand:
Copy the png to the data/art directory. Then edit the data/init/init.txt file and modify the setting where it says[FONT:whatever.png]. Put the name of the png file that you put in the data/art directory there (without any path). This is *probably* the FONT entry for LNP, but I don't know.
IMHO, learn how to do things by hand because it is more straightforward than using a tool to do it (almost by definition ;-) ). Basically, if you have to ask then you have gone beyond the usefulness of the tool (which was developed to increase ease of discoverability). Configuration (and even modding) is super easy to do in DF -- it's just a matter of knowing what to do.
Tilesets, fonts, graphics sets, etc can not be mixed in any reasonable way in DF. In the vanilla game there are 256 different "glyphs" (graphical characters). Each "glyph" corresponds to a text character. So if you change you "d" to look like a dog, then whenever you write the word "dragon" the "d" will look like a dog. Also because a male duck (drake) uses the "d" character as well, then whenever you saw a drake it would look like a dog.
There is something called a graphics set to help with this. If you set "[GRAPHICS: YES]" then it will look in the "raw/graphics" directory for graphics to use on the map. If you have a dog graphic, then it will draw the dog graphic for dogs on the map. If you have a duck graphic, then it will use the duck graphic for ducks on the map. The format of the graphics sets is much more complicated than the tile sets and I don't use them, so I don't know how to modify them.
There is also a mod called "Text Will Be Text" (TWBT) that (in part) tries to draw things on the map using a graphics set or tile set, but to write text using a normal text font. It is massively popular, but has sometimes caused instability in the past. Some people have never had a problem with it, though. I've never used it.
The Print Mode option in the init file describes what techniques are used to draw onto the screen. It's only relevant to this discussion insofar as you can use it to do a text only mode on Linux: "[PRINT_MODE: TEXT]". This lets you play in a console. I'll assume you don't want to do that.
Now the key here is that when using anything other than "[PRINT_MODE: TEXT]" on vanilla you are either using a tileset, or you are using a graphics set (the graphics set will use the tileset for printing text and the graphics set for printing things on the map). Kruggsmash's tileset is a tileset. CLA, Pheobus, etc are graphics sets. If you are handy with graphics editor and you are willing to invest the time to learn, you could *definitely* modify one of the graphics sets so that it used different graphics (for example things from Kruggsmash's tileset that you redrew using your graphics editor). Someone else can give you some advice on how to get started (there are many threads dedicated to graphics sets in the forum).
I hope that helps.