We use the react-styleguidist package to run and build the style guide, and running the style guide locally doubles as an interactive playground for developing and testing the components. Refer to Styleguidist docs.
You can change the theme styles for the style guide app in /src/styleguide/styles.css. Be careful to define styles only for specific style guide classes. If you define styles for something generic, like div, then it may alter the appearance of all of the components that render that element and will confuse people.
Sections are defined in styleguide.config.js. The format is easy to understand by looking at the existing section definitions. Put the markdown content for a section in the /src/styleguide/sections folder, and name the .md file the same as the section name from styleguide.config.js, with spaces removed.