Going a bit further...
Word cannot read your mind. You need to tell it what to do. If you do, it will do it if it can.

If your have your numbering linked to styles, picking a style is one way to tell it what you want; the keyboard shortcuts can help with that. So is telling a style to use a different style (with a lower numbering level) for the following paragraph.

Unless everything you are writing is numbered, at some point you will want Word to produce an unnumbered paragraph as the next paragraph. I generally tell heading 3 that I want the following paragraph to be the unnumbered, body text style. The same is true for headings 4-9. For me, Word then does what I want most of the time.