This blog does a great job of explaining how to create new styles and apply them.
In conclusion, “select some text in a rich text document, hit your key combo, and the text is immediately formatted the way you want.”
One more thing: The shortcut also works if no text is selected. In that case, the style changes starting from where the cursor is.
I think this is not obvious, but important to me (and maybe to others as well). I often know how I want the text to look before I start writing. That saves me from having to format it afterward.