Where should CKEDITOR.stylesSet.add(...) be done?

When trying to follow http://docs.cksource.com/CKEditor_3.x/D ... ide/Styles - specifically trying to add custom styles to the dropdown with

CKEDITOR.stylesSet.add( 'my_styles',
[
    // Block-level styles
    { name : 'Blue Title', element : 'h2', styles : { 'color' : 'Blue' } },
 
    // Inline styles
    { name : 'CSS Style', element : 'span', attributes : { 'class' : 'my_style' } }
]);