It is unfortunate that you can not put highlighting as a character style. For that you DO have to use a macro. However to do so is easy, and you can still assign a keyboard shortcut (say Ctrl-Q) to it.
Code:
Sub MyLotsOfFormat()
With Selection
With .Font
.Underline = wdUnderlineSingle
.Bold = True
.Italic = True
End With
.Range.HighlightColorIndex = wdBrightGreen
End With
End Sub
You can of course change the parameters like the underline characteristic and the highlight colour.