I wanted to do the same thing. I was pretty shocked to find that the zen_orders table doesn't capture the customer's fax number! It manages to capture everything else BUT the fax number. So, aside from having a good understanding of the schema and writing some code, there is no way to add the customer's fax number to the invoice. It's insane.

If anyone out there could post a sql query that pulls customers_fax from the zen_customers table for the given order id and can be pasted into the invoice.php file, it would be very useful for a lot of people!