Headings typically refer to stylized text that helps break a document into sections. Using the official headings markup (versus just manually making text bigger) improves the accessibility of a document, too, by providing a navigational structure.
You should make sure you're creating headers in sequence -- that is, don't create a Heading 2 that's meant to come before a Heading 1. You can always restyle the heading to be larger/smaller, a different font, etc, without affecting the functionality.
See the Links at the bottom of this answer for more guidance on formatting headings according to MLA, APA, and Chicago styles. The default heading formats will not suit these citation styles.
In your document,
- highlight the text you want to turn into a heading
- Click on Format...
- Paragraph styles...
- Heading #
- Paragraph styles...
