And the styles must have a heading level as part of the definition.
To apply the heading 1 style you can use the keyboard shortcut Ctrl+Alt+1. Similar shortcuts are built in for headings 2 & 3. Use these shortcuts, click in the heading without selecting anything and use the shortcut.
Why use Microsoft Word’s built-in heading styles? by Shauna Kelly
Basic Concepts of Microsoft Word - from Shauna Kelly

You can use these styles to generate a table of contents in the document for printing if you want.
How to create a table of contents in Microsoft Word by Shauna Kelly

In your example, I would suggest using Heading 1 for the Chapter headings and Headings 2 (and 3) for headings inside chapters. That way you will get a hierarchy shown in both the navigation pane and in a generated table of contents.

I would add that understanding and using styles is a key part of making Word work for your rather than against you.