You are going to have some reading to do.
You are going to want to have numbering set up tied to your heading styles.
How to create numbered headings or outline numbering in Ribbon Versions of Word by Shauna Kelly

Yes, you are going to want to use Word's built in heading styles, perhaps with modified formatting and with the numbering attached.
Why use Microsoft Word’s built-in heading styles? by Shauna Kelly

Then, you will want to use the References > Insert Caption button. You can include the number from your section in the numbering for the caption. This automatically inserts a bookmark. You can use References > Cross-Reference button to insert a cross-reference to a caption.

You will also want to look at the StyleRef Field.