In order to set up custom styles in the drop-down list to the CKEditor toolbar is not that difficult but the instructions here is not very well defines when you are integrating with Drupal.

Simply copy the sites/all/modules/ckeditor/ckeditor.styles.js file into your theme directory. 

Then edit the CK profile that you want the styles to appear (admin/config/content/ckeditor/edit).  In the CSS section use "Predefined styles " and/or "Predefined styles path " options.