This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
You add the styles to the document of the JTextPane. There is a page in the java tutorial that has an example (application) of adding styles to a styled document: How to Use Editor Panes and Text Panes.
I tried this way before, but it hasn'nt been working, too.