See How to create numbered headings or outline numbering in Word 2007 and Word 2010.

You should not have to create new styles, simply define a set with all nine levels defined at the same time. Your base Heading 1 level is A, B, C even if you have nothing with those tags. Each lower level is one higher number of heading. When you apply a new Heading 1, numbering after that should restart.

Note, you need to follow all of the steps in the above article even if you don't understand why you are doing it. It is like magic words, if you don't do things in the correct order, it doesn't work.

See also Numbering in Microsoft Word which gives more information but does not give the step-by-step process.