Open Window ▸ Paragraph Styles (F11), Character Styles (Shift+F11) or Object Styles (Ctrl+F7), put the caret in the text (or select the object) and click the style.
The “+” button at the foot of a styles palette creates a style; double-click a style to open its options. New Style From Selection makes a style out of the formatting the caret's paragraph carries.
Formatting applied on top of a style is an override. Clear Overrides (also Type ▸ Styles ▸ Clear Overrides) puts the text back to its style; Redefine Style moves the overrides into the style. The override highlighter button tints overridden text on the page.
The folder button creates a group; drag styles into it to organize them.
Every button of a palette shows what it does when you hold the pointer over it.