One of the fastest ways to set up a style is to format a bit of type using the attributes you want to have inthe style, then highlight it, and in the appropriate style panel Alt/Opt click on the new style button at the bottoom of the panel, or use the panel flyout menu and choose new style, and simply give the style a name. The formatting will already be filled in for you.
They'll show up in the styles panels, of course. For information on tracking down instances where they are applied, see this thread.
You can also use the Find/Change dialog, (click the "T/Magnifying Glass" icon next to the Find Format and Change Format fields).