Short answer: I don't think there's a magic bullet for this. It's going to be a lot of pain.
You can start by extending the Text class in a way that adds a static StyleSheet property (e.g., styleSheet:StyleSheet = null). Then create an array which contains the following styles, the only ones supported by Flex:
listOfStyles:Array = ['fontSize', 'color', 'fontWeight', 'fontFamily', 'fontStyle', 'textDecoration'];
Then you have to initialize the StyleManager.selectors, creating an array of selectors you are going to use. Basically, you are finding the "A" tag and adding the listOfStyles above to it, then creating a new CSSStyleDeclaration for each of those styles.
This will allow you to apply the above-named styles to the htmlText property of your extended class. So far so good. This enables you to set different styles to your anchor tags upon load, using an external stylesheet. To apply a rollover effect, however, where each link changes color on rollover within the HTML, would be problematic, since MouseEvent.MOUSE_OVER would apply to the class as a whole, not the individual HTML elements within it. You would have to figure out if the mouse was over an anchor within that HTML text (not impossible, but I don't have time to work that out right now) and change your selector within that. It would involve getting the text range, and that always means a lot of work. I had to mess with that when a client wanted emoticons to appear in the text flow (something else Flex's implementation of HTML fails to support) and it was extremely gnarly.
I believe Flex 4 is going to add more support natively for this kind of thing, but I haven't researched that specifically.
Sorry I don't have a magic bullet for you, but I hope this sheds a little light on the topic.