If you want to use Visio to create complex diagrams with a consistent look, you'll definitely want to use styles. Visio supports this, but the feature is hidden in Visio 2007. The following Microsoft support document explains how to enable access to the menu items that allow you to define and apply styles:
In addition to the Style and Define Styles commands in on the Format menu mentioned in the document, you may also want to check out the Drawing Explorer Window command in the View menu. The latter gives you an overview of the defined styles and their relationships.