Although I realize that you're asking for the ability to define a style shortcut oneself, one can easily use a keyboard shortcut to select a style from the Style Picker: Ctrl+Shift+H opens the Style Picker, and then one can type the first few characters of the style to jump to it (say, "p.E" to select "p.Example") and press Enter.
Lots of helpful info in this thread. Regarding the text above, this helped me. Though I was looking for a way to sort my styles based on useage, using the StylePicker window is the best method available (IMO). You can even drag to expand the bottom of the window to display more styles, which ended up displaying the styles I was hoping to have quick access to.