I tried doing that in Word once, it's nowhere near the solid foundation that actual style sheets provide (thinking of CSS/HTML here).
I only needed to style H1, H2, P, EM and possibly A (they don't have those names in Word, but you get the point). That's probably the simplest document structures you can have for a task that reasonably makes use of styles.
The biggest problem was, those styles are like liquid, slipping between your fingers as you work with them. You do one thing to the text and suddenly you find yourself in a style that's "adapted" from a style you've already defined, I think I've even encountered a new hybrid style between two of my user-defined ones. And then there's of course the "built in" paragraph and heading styles, occasionally thrown into the mix as well.
The point is, this is not at all like an actual style sheet based way of working, such as with CSS/HTML. You could get the above result by using (bad) code such as <h2><p><em>OOPS</em></p></h2>, you'd also get a mix of three styles. But the thing is, in Word, all these new hybrid styles got added to the style sheet!
So get this, I wrote part of a document, decided (as long as I have to do this in Word ..) I'd use style sheets, made the styles, continued writing on the document and the existing styles changed as I moved bits of text around.
Not having exactly that happen, is one of the main reasons to have a strict separation of content and style in the first place, is it not?
I'm sorry but, I don't think Word actually supports "styles". It's got some stuff that kind of looks like styles, but once you actually try to use it, it'll just waste your time at exactly those moments where you'd expect a proper styles system to save you time.
At some point I had finished the content and I decided to make the H2 a bit bigger font. With styles that should be the easiest thing right? Haha! Right. That's when you get to see all the adapted styles that suddenly appeared in your H2's markup, and they don't change along. So instead of just changing your styles, you are going to have to edit your document content anyway.
The whole experience was very, very messy. In hindsight I'd have preferred to keep the "style sheet" in my head and apply all the markup manually, like most people do, instead of relying on the program to take care of this for me, but wasting my time instead. No wonder that's the route most people seem to take.
(disclaimer: this experience was a few years ago, maybe they fixed it by now and styles are actually styles and don't change while editing your content, and are in fact either applied to some part of the content or not, and not somewhere in between)