I don't know about Sphinx, but for a plain HTML file, you would include
<script type="text/x-mathjax-config">
MathJax.Hub.Register.LoadHook("[MathJax]/jax/output/HTML-CSS/config.js",function () {
MathJax.OutputJax["HTML-CSS"].webfontDir =
"http://cdn.mathjax.org/mathjax/latest/fonts/HTML-CSS";
});
</script>
somewhere before the script that loads MathJax.js
itself. You will have to figure out how to get that into the configuration used by Sphinx.