See Understanding Styles in Microsoft Word. Actively using styles is essential to making good use of Word, especially on long documents.

Heading Styles 1-3 can be applied to a paragraph by clicking in that paragraph and pressing Ctrl+Alt+1 (2,3) by default. You can make this work for all 9 levels if you want. Heading Style Keyboard Shortcuts Add-In for Headings 4-9

Take a look at Why use Microsoft Word’s built-in heading styles? by Shauna Kelly. The built-in heading styles have been rightly described as "magic" in Word use.

Styles should be planned and applied using judgment, not by rote. However, pressing Ctrl+Alt+1 to apply the Heading 1 style is not that tough. Make sure that when you do this you simply click in the paragraph, not select text. If you select text you may get results you do not expect.

Generating a Table of Contents - Complex Documents
How to create a table of contents in Microsoft Word by Shauna Kelly
TOC Tips and Tricks

Cross-References