If you don’t want to take the risk of overwriting a style or if you want a clean slate to start from, you can click the New Style button in the styles task pane. That will open the window pictured below.

You may notice that this dialog looks a lot like the Modify Style dialog. In fact, it’s exactly the same! Word will note where your cursor was when you clicked New Style and fill in the properties of the text that was around it. Just like the Modify Style dialog, you can choose the formatting options you want (using the items in the main screen or the format menu) and then click OK to save your style. It will then appear in the styles task pane and the style menu with all the other styles, so that you can apply it in the same way.