The Control Panel is tool-sensitive, and for text, it even gets divided into two bars: Character and Paragraph properties. “Language” is, by default, in the Character part, and you can toggle between the two using the leftmost buttons (conveniently displaying a 'character' and a paragraph symbol). If you happen to have a wide screen, it pays off to visit the drop down menu (on the far right of the control panel). The bottom option is “Customize”, and my screen is wide enough to switch “on” everything (plus some space to spare).
Or you can select your text and set the language using the Character Panel. If there is no “Language” drop down, the panel has its Extra Options hidden; select “Show Options” in the Panel dropdown menu to see them again.
By the way, you don't have to create paragraph styles to set the language. It's enough to change the ones you already have.