A family of Microsoft word processing software products for creating web, email, and print documents.
In Word, the recommended approach is to set up multilevel numbering so that it is associated with paragraph styles—one style per list level. See https://shaunakelly.com/word/numbering/numbering20072010.html (applies to Word 2007 and later, up to and including Word 2024 and subscription versions).
With heading numbering, keep in mind that pressing Enter at the end of heading usually applies Normal style to text. To "continue" the list, you will have to manually apply a heading style to the new text paragraph. Or you can change the "Style for following paragraph" by modifying the heading style. In those cases, choose "Heading 1" as the "Style for following paragraph" for Heading 1, etc.