First, there is an important difference between headers and headings in Word jargon. Searching for help on one when you mean the other will frustrate you.
What is the difference between headings and headers?

See How to create numbered headings or outline numbering in Ribbon Versions of Word by Shauna Kelly

Big idea #1 - Follow Shauna's directions, all of them!

Big idea #2 - You do not need to use heading styles. You can use others but they will have to be separate paragraph styles for each level and you will be assigning an outline level to them. You want the styles to be existing before you set up the numbering.

Big idea #3 - If you are not otherwise using the lower heading styles, you might as well use them for this. There are big advantages to the heading styles, magical properties, in Word. You can modify the style to have any formatting you want. It does not need to look different from your body text.
Why use Microsoft Word’s built-in heading styles? by Shauna Kelly

Big idea #4 - Use styles to assign your numbering in the document once you have this set up. Do not use the numbering buttons in the ribbon!