To create a new format, select Character from the Format menu. A new window will appear which will let you set the font, size, and any other special options such as underline, overstrike, etc.
Once you have made your choices, select where you want to apply this format. If you only want it applied to the current characters, and you do not need the format again, then just select the Current Characters option. If you want to use the format again, then name the format in the upper left hand box, and choose Current, as well as Character Catalog. When you are done, click on Apply To:, and you should see the characters change.
If you want the format applied to all characters, you should hit SHIFT-F8 to get into As Is mode. Now, change only the formatting for any options you want all characters to possess. For the apply options make sure ONLY All Characters is selected. Then click on the Apply To: button.