I have developed a "new" style that changed the appearance of much of an application. It did take some time, and quite a bit of experimentation. I also derived my style from the generic windows style, to allow it to handle some of the stuff I didn't want to mess with. All told, I think it took me a week to get most of what I wanted, with practically no prior exposure to the styles.
In order to actually develop one, I would get into the source for their styles example, which has a "wood" style. I put my own style in place of the example style, and started changing things while using the example program to check how it looked. Depending on how you are developing it, you might want to have a configuration file so you can easily change some of the values without recompiling.