Share your code, please -- it will help you get the most effective replies. Also, provide info about your SAS environment, version, OS, local or remote SAS execution.
Also, you will find supplemental technical and conference reference documents at the SAS support http://support.sas.com/ website - either using the website SEARCH facility or consider the Google advanced search argument below:
One possibility is to use SAS and Word together. Design your mail-merge document in Word -- with the constant text and mail-merge fields for the changing information and then use SAS to create the mail-merge data. The technique is described in general, in regard to labels in this paper: http://rtsug.org/pdf/ZillionLabels.pdf
If you are happy with the ODS TEXT method for the "body" of the document-- then there are two methods for applying style characteristics to the text that you write with ODS TEXT --
1) use ODS ESCAPECHAR techniques or
2) change the USERTEXT style element in a style template