I believe this is what is referred to in Word jargon as a
Table of Contents, not an
Index.
A Table of Contents will give a heading or other topic and the page on which it is found and is organized in sequential order according to placement in the main document. Generally, this will be at the beginning of a document, before the main text.
An Index will list the page(s) on which terms or subjects are found and is organized in alphabetical order. This is usually at the end of a document.
More jargon:
What is the difference between headings and headers?
I expect that you want your heading styles to be attached to multi-level numbering. If you use automatic paragraph numbering or bullets read Shauna Kelly's directions on numbering and bullets. Start with
How to create numbered headings or outline numbering in Word 2007 and Word 2010. For large documents you must follow these directions or you will lose your hair!
(Mac version:
Outline Numbering in Word for macOS - Best Practices - Brandwares)
This may seem a bit convoluted at first, but it really is not. Just follow the steps. Shauna Kelly's instructions use the built-in heading styles, but you can use any existing paragraph styles including your custom styles. There are, however advantages to using the built-in heading styles when you create a Table of Contents. Here are some more advantages:
Why Use Word's Built-In Heading Styles? by Shauna Kelly Note, you can modify these built-in styles to look exactly the way you want.
Videos on this
https://www.youtube.com/watch?v=He_ob8ydc9E
https://www.youtube.com/watch?v=qbyTcWo52G4
https://www.youtube.com/watch?v=GevZOS-nCuw
https://www.youtube.com/watch?v=niD6VXPvAyU
The basic idea is that the numbering is set using the Define MultiLevel List dialog with each numbering level being attached to an existing paragraph style. Once you have this set up, you should not use the buttons for numbering in the Ribbon but rather apply the appropriate style for that level.
You can save a document with this as a template for future documents if you want so you will not need to do this every time.
Once you have your multilevel list set up attached to your heading styles, then you create your Table of Contents.