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The first four Screencasts were created using Ulysses 1.6, only the last one ("Document Management") was created using Ulysses 2. We're really sorry that this caused you all the confusion. The introductory texts in the Ulysses Help already mention that Screencasts 1-4 use Ulysses 1.6 and that user interface elements may look different or may be at another spot. However, the concepts all remained the same.
About the Paragraph Style:
To create a new Paragraph Style, open the Preferences (Ulysses > Preferences...), then click "Paragraph Styles" and then hit the "+" button on the bottom. A new row will appear where you can change the Tag to "//" and the Description to "Dialogue" (whatever suits the purpose). Since Ulysses includes the default Paragraph Style "Level 1" with "// " as a tag, you will need to change the tag to something else or remove that Style altogether.
In the Fonts & Colors Panel (Ulysses > Fonts & Colors...), you can now change the look of the Paragraph Style. For example, you can change the color and the style (bold, italics, ...). What you can not do is (1) automatically replace // with "" and (2) (auto-)indenting the paragraphs. In the Fonts & Colors panel, you can only indent the first line of every Paragraph (regardless of the Paragraph Style).
What you could do about problem (1) is to write the text using "//" is Paragraph Style tags and then replace // by "" using Search & Replace (Project > Search and Replace...). In this case, you would need to set the Paragraph Style tag to "" so that the Paragraph Styles are applied when // is replaced by "".
Indenting text is a matter of exporting. In the PDF, RTF, and Word Exporters, you can set the Head indent of the first line and of the other lines. So when your Document is ready for export, open up the Exporter (Project > Export...), select the Documents you want to export on the left-hand side and select the appropriate Styles in the tables on the right. If you select the "Dialogue" Paragraph Style" and click on the cell in the Style column, you can select the menu item "Edit...". A sheet appears, which allows you to set the indent of the first and of the other lines. Upon export, the paragraphs with the "Dialogue" Paragraph Style applied will be indented.
I am a bit confused about your example. A Paragraph Style only has a start tag (no end tag). Thus, the paragraph would need to be as follows:
//Thank you very much, you have been wonderful.
The end of the paragraph automatically signals the end of the Paragraph Style since it is always applied to a paragraph as a whole (in contrast to an Inline Style or a Marker, which are applied to a text portion inside a paragraph).
About the User Interface design:
In Ulysses 2.0, we split up the Preferences into Preferences and Fonts & Colors since we believed that the old Preferences were overloaded and the look of a Style/Marker should be kept separate from its semantics (which is defined by the tag and the name).
If you want to use Ulysses 1.6r2, you can download it from here
and give it a shot. Please be aware that we have changed the registration system for Ulysses 2 and you will not be able to use your serial number in Ulysses 1.6r2. Please contact us via email@example.com if you want to use Ulysses 1.6 instead of Ulysses 2.
Just a small note: we just released a re-recorded version of the first screencast. You can either watch it in HD on YouTube or as a regular quicktime movie. I hope this helps.