Someone please help me!

I have a document with numbered headings and I have numbered lists under
each heading but I can't get the numbered lists under to continue with the
headings. See below for example of what I'm trying to achieve. The continue
previous list checkbox always seems to be dimmed straight after a heading as
though it doesn't recognise the heading as being numbered.

2.6 Heading
2.6.1 List item
2.6.2 List item
2.6.3 List item

Many thanks in advance to anyone that may be able to help!
Tracy.