[Paul Willyams]

This works OK for me, setting up a style 1, 1.1, 1.1.1 etc linked to heading
styles. I agree that it is not as intuitive and cannot see why this is not
available from Styles. However, there is another problem I have struck,
which seems really odd:

Setting up your heading styles this was turns them into a Numbered List, not
a Heading. So they no longer appear in to Go To or the Insert
Cross-Reference as Headings. They do appear under the Numbered List type,
along with any other numbered lists, which is really and truly unhelpful.

Thanks to their outline levels they do appear in the Table of Contents.