A family of Microsoft word processing software products for creating web, email, and print documents.
If you're trying to create an outline, try Outline view. In that view, when you press Enter at the end of a heading paragraph, another heading at the same level will be inserted. You could change the "Style for following paragraph" as Doug suggested, but if you plan to go back and fill in some Normal text after the headings, that would be counterproductive. Outline view also has buttons to allow you to easily promote/demote the heading/numbering level.
I assume you have started by using the 1 Heading 1, 1.1 Heading 2, 1.1.1 Heading 3 choice in the Multilevel List gallery. This is a quick way to add outline number linked to styles, and you can use Define New Multilevel List (with the insertion point in your first Heading 1 paragraph) to add periods to the numbering if preferred.