It is very easy to do if your headings are formatted using heading styles. If you are not, I would urge you to go through and actually format your headings using heading styles. Note, the formatting of your heading styles can look the same as your body text (but all caps) if you want. See
Why use Microsoft Word’s built-in heading styles?
Once you've done that, all you need to do is generate a table of contents without page numbers and you've got your headings list.
By the way, ALL CAPS are hard to read. I would recommend Small Caps with a larger font size instead.
The original formatting may not have been using an ALL CAPS font setting but simply by holding down the shift key. When you have a heading selected you can use the Shift-F3 key combination to change the capitalization to something a bit more normalized if you want.