In the Define New List Style dialog box (or the Modify Style dialog box for
an existing list style), click Format, and then click Numbering; Word will
display the multilevel list dialog box. If necessary, click the More button
to see the whole dialog box. Use "Link level to style" to associate a
paragraph style to the selected numbering level.

Note that in order to modify an existing list style, you can right-click its
icon at Home tab | Multilevel List. Alternatively, make use of the Manage
Styles dialog box (in the Styles pane, click the Manage Styles button),
which gives you access to all styles in Word.