Finally I found the perfect combination for this, here´s the trick:
1. Install this plugin and customize the toolbars as you wish, including the "Styles" dropdown menu. You'll see the default styles (Wpgallery, wp-caption and so on...)
2. Go to http://www.wdmac.com/how-to-use-custom-styles-in-the-word-press-post-editor and read carefully point number 3.
Use the link "Download the code in TXT" and modify functions.php
This will knock down the default styles!
3. I create the css file but just added the line
@import url("style.css"); to load my own styles from the file styles.css of the theme.
4. Go back to functions.php and see line
$init['theme_advanced_styles'] = 'style_01=style_01,style_02=style_02';
where style_01 and style_02 are your custom styles.
That will show your styles inside the "Styles" dropdown menu.
4. Almost there... once you do this, remove the line
add_filter( ‘mce_css’, ‘tdav_css’ );
in function.php, as user Bones advised.
By commenting this line you'll see your custom styles not only in the dropdown menu, but in the WYSIWYG editor.
I hope this help. Don't be afraid, it's more simple that it sounds! :