Use the built-in heading styles for the headings.
How to create numbered headings or outline numbering in Word 2007 and Word 2010
Why use Microsoft Word’s built-in heading styles?
How to create a table of contents in Microsoft Word

There are other methods that could be used, but they are kludges - work-arounds for when the built-in heading styles can't be used.

Note, you can format the built-in heading styles to look like what you are using.