Inline custom styles in Microsoft Word

I was looking for the same thing today, but in Word for Windows (Office 365 version)

The solution is the same but the steps towards it are different:

1. Select the inline text
2. Open the Styles Pane and press the New Style button (left button on the bottom row)
3. "Character" is now an option for "Style Type"

Ok, I just found out:

Select text > Format > Style > New

Then select "Character" instead of "Paragraph" for the option "Style type".