What do you mean by break a paragraph style? You can have exactly one paragraph style assigned to each paragraph, but you can assign character styles in various ways to selected text within a paragraph.
thank you for your reply, Peter. I've figured it out I think, I just needed to create a new paragraph and characterr style, so I could change the "Align to grid" setting to "non" for just one set of bullet points within threaded text boxes.
Why Character Style? This has nothing to do with baseline grid. Only the paragraph style and the Object Style have influence of the result of the baseline grid.