Thanks Stefan
This is the bit that has me confused.
On the Cross-Reference window, when I select 'Heading' in the Reference typefield and 'Heading text' in the Insert reference to field, only some of the headings that I created display (but not all).
I created all headings in the document in the same way. I'm just not sure why some display and others don't.
When I was using Word 2007, all my headings displayed in the Cross-Reference list.