You refer to a series of headings. Do these always use Word's built-in Heading Styles? If not, finding which heading an image relates to would be difficult.

Even if you are using heading Styles, extracting and naming the images the way you want will be problematic. For starters, images may be inserted in-line with the text or as floating objects. If you have a mix, or if they're inserted as the latter, their relative location on a page may have nothing to do with where they're anchored. Consequently, getting the numbering right would pose a real challenge.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]