That desire to have the first line of a paragraph would be cool effect in certain document types. I have also though of how one could have the Header in line/directly followed by the body text. Something like the header is the first word phrase of the first sentence. (That's a question for another thread.)

You have a couple ways to achieve including the one you've already described. One could apply a character style to the line by selecting the line regardless of the carriage return. Of course if the applied style yields a word-wrap, then another problem to work out. Using a Paragraph Style is what it sounds like you are going to use. The Paragraph Style associated with Heading Levels may be better since it will easily allow use of the navigator and Bookmarks if exported as a PDF.
Formatting versus layout where the desired formatting can mess with the layout.

I'm usually not concerned to much about the style criteria, Style for following Paragraph. That is also a setting that seems useful during concise document creation and not editing.