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To apply a heading style (heading 1, heading 2 etc) to the active paragraph in MS Word, hold down the Alt and Shift keys and press the Left or Right Arrow keys.
The style which is selected will depend on the other styles used in your document, but holding down the Alt and Shift keys and repeatedly pressing the Left arrow key will step you through the Heading Styles until you get to Heading 1. Holding down the Alt and Shift keys and repeatedly pressing the Right Arrow key will step you through in the other direction until you reach Heading 9.