Headings are used to highlight titles in sections of content for your site. In the drop-down from the toolbar above the page or post that is being edited, you’ll see options for Paragraph (which is the default, Heading 1, Heading 2, Heading 3, Heading 4, Heading 5, and Heading 6. You are able to highlight any text within your post or page and choose one of these heading options.
Headings are primarily used for SEO purposes, and not necessarily for aesthetic reasons. See this article from Yoast that explains how to properly use them.
Using appropriate heading tags throughout your page content is still a best practice and generally provides a better user experience.
Each main paragraph is an H2 or Heading 2. If you are using WordPress, changing these titles to headings are quite simple.
And then, H3 tags would be used for the important subcategories of a paragraph. I rarely use H4 to H6. You’ll notice that this blog has a table of contents.
The table of contents is created automatically using the H2 and H3 tags in this article.
Be sure to use your focus keyword from time to time in your headings as well when it appears “natural” to do so.