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Does anyone know if it is possible to create custom line fonts for Pro/E?
Yes you can. Please refer to the help files.
Ok, I just found where I can make custom fonts in a drawing (not in model sketch), but it seems I can only use dots and dashes. Is there no way to use other characters?
Right, you are stuck with default interface line styles for modules.
The dots and dashes represent spaces and dash length. With the standard set, it has limited advantage in the drafting world. Say you want to make a triple-dash line font (phantom on steroids), you can do that.