• How to create a table of contents in Microsoft Word by Shauna Kelly
• Why Use Word's Built-In Heading Styles? by Shauna Kelly
• Generating a Table of Contents
• TOC Tips and Tricks by Suzanne Barnhill, MVP

One of the above will have the answer to your question and give you more ideas for creating automatic Tables of Contents.

Guess: Assign an outline level of 1 to 3 to your custom paragraph styles.
Outlining - Outline Level Styles

You could attach a sample document with one of your custom heading and TOC field here and I or someone else can take a look at it.
Attach a Sample File Demonstrating the Problem - Here's How