Headings should be used to indicate the logical structure to your text. (For this, and all pages, view this and the page source to learn.)
In this page, there is only one level-1 heading (H1), which serves as the title to the whole page. Then there are three level-2 headings, each one starting the section which deals with the three main tags considered on this page. The level-2 heading here is "Levels of heading". The other ones is "Use of H tags".
Officially there are 6 levels of heading, so you can get down a long way.
Enough said.
Resist the temptation to use H tags to make certain bits of your text bigger (or smaller)! There are other ways of doing that if you really want to (the BIG and SMALL tags which we are not covering yet, and style sheets for the very advanced). Keep H tags to mark the logical division of your document into sections, subsections, etc.