Creating a TOC in Pages that will work when exported to Word

Am trying to create a table of contents in a Pages doc. I did this, but it did not transfer to Word. So I am following instructions to create a header style for the text, then highlighting that text, and going to Insert>Table of Contents>Document (or Section); tried both. Then I get this:

"The table of contents is empty because your aren't using the paragraph styles set to appear in it"

Think I'm missing something obvious. Suggestions?