First, you need to learn how to use Styles. They are at the heart of the way Word works. Every paragraph in a document has one of the available paragraph Styles. See:
http://office.microsoft.com/en-au/wo...010230882.aspx
http://office.microsoft.com/en-au/wo...005240626.aspx
http://shaunakelly.com/word/styles/stylesms.html
http://www.addbalance.com/usersguide/styles.htm
Once you've defined the Heading Styles the way you want them, it's just a matter of using Find/Replace to look for paragraphs beginning with 'A - ' and 'B - ' and replacing them with the requisite Heading Styles. See, for example:
http://office.microsoft.com/en-us/wo...005189433.aspx