To simply remove options from the Format dropdown, navigate to the "Editor Configurations":
/system/index.php?S=0&D=cp&C=addons_modules&M=show_module_cp&module=wygwam
Then under the Advanced Settings, add the option called: "format_tags" which will display a checkbox list that you can use to specify which format options you would like to be available in the Format dropdown.
As for styling these selections (like you would with the Styles dropdown), I would suggest you try to use the "Styles" dropdown to do the work; however, you can explore specifying auto-classes on the header tags, etc. by trying to create a "customConfig".
Again, under Advanced Settings, add the option called "customConfig". Then specify your a different custom JS file that has the "format tag" rules in it. Here's the documentation on what you'd probably put in that custom config file.
http://docs.cksource.com/ckeditor_api/symbols/CKEDITOR.config.html#.format_tags
http://docs.cksource.com/ckeditor_api/symbols/CKEDITOR.config.html#.format_h1
http://docs.cksource.com/ckeditor_api/symbols/CKEDITOR.config.html#.format_h2
etc...
e.g.
config.format_h1 = { element : 'h1', attributes : { 'class' : 'contentTitle1' } };
(Note that I haven't used the customConfig option before; so I can't confirm any success with this)