I tried all the answers offered here (Kevin's "reapply" answer, importing a style set from a working document, saving as .doc, using the "update to match selection" option to copy a style from a different document, using the "Change Styles" option to do the same, ticking the "Automatically Update" option, clearing formatting and manually recreating the style, changing the theme of the document and then redefining the multi-level list), and many of them worked temporarily, but the problem persisted every time I reopened the document.
Even if you did copy the content of another's blog, if your blog is not a for-money effort I don't think anybody can say scat about it. Especially since you posted not just a credit to the source but an actual working link. Wordknowhow should be thanking you for driving traffic to his undoubtedly for-money blog page – not whining about it. Given his reaction here, I'm disinclined to visit his page. Pretty sure I can find the information elsewhere. What a self-important crank that guy seems to be.
Thanks for the post – it got my headings working nicely…..yesterday. Today I've reopened the word file and the "numbered" part of the level 2 headings are all overlaid with a black box….which I can't remove. Unfortunately I can't attach a picture or a copy of the file. This black box obscures only the numbered part of only the level 2 heading – level 1 and 3 look fine. Any ideas?
Another option, which is quick, is this: If you have a "good" (earlier) version of your document with the styles intact, use the "Change styles" menu to save that style.  Then, go into the "bad" version of the document and apply the styles you saved in the good version. This was a 5-minute fix, and worked for me. The changes remained after I closed and re-opened the document. 
In Word 2003, in Format | Bullets and Numbering, choose the Outline Numbered tab. The second pane in the bottom row of the gallery should show 1 Heading 1, 1.1 Heading 2, 1.1.1 Heading 3. If it does not, select it and click Reset (and answer Yes). With the insertion point in a Heading 1 paragraph, apply that format. The numbering will already be just what you want and will be linked to the heading styles. If you want to fine-tune the indents, you can click on Customize.
Solution: There is an A inside a gray box that sits beside the A for setting font color, just to the right. Select the Heading 1 and click on the A in the graybox which is "character shading", by the way. When I clicked once the box turned to gray and when I clicked a second time the font showed up without any boxes, black or gray. I then selected Heading 3 and did the same thing and this fixed it for both.
I cannot (despite 3 weeks of trying) set up outline numbering on MS Word (Tried 2003 & 2007 with same problem). I link all the headings to styles and understand the need to set the customise number box so that only the one number box style applies to the whole document. But when I try to set up the 9 levels, the number format appears fine at first, appearing as 1; 1.1; 1.1.1; 1.1.1.1 etc as desired but when I try to display the previous level number (level 1 number with level 2 heading) to appear as:

Summary: Need to add a unique serial number to each printed copy of your document? Here's a quick way to print such numbered versions. (This tip works with Microsoft Word 97, Word 2000, Word 2002, and Word 2003. You can find a version of this tip for the ribbon interface of Word (Word 2007 and later) here: Using Sequential Document Serial Numbers.)
The next step is to create the simple Excel workbook that contains the ticket numbers. Open a blank Excel sheet. Using Figure B as a guide, create the ticket numbering sheet and save it, making sure to note the new workbook's name and location. As we discussed earlier, the Excel workbook stores the ticket numbers. In this example, we'll create 11 tickets numbered 100 through 110. You'll need to update the ticket values for each merge.
The values for Number position (here called Aligned at), Text indent and Follow number with are in the Position section at the bottom. With multi-level numbering, you also have easy access to settings that control the type of numbering at each level, the characters before and after each level’s numbers (period versus parenthesis), and the list number style (1, a, I, etc.).
Notice that the Font option (when you applied italics) changes only the number, not the heading text. To update the heading text, modify the heading style as you normally would. Word assumes you want all Heading 1 and Heading 2 styles included in the new numbering scheme. If you want to omit a heading level from the scheme, don't use a built-in heading style to format those headings.
You can't use Word's Numbering feature to generate a multilevel numbering system, even if you use built-in heading styles. Figure A shows a document with two styled heading levels: Heading 1 and Heading 2. You can apply the Numbering option (in the Paragraph group) and Word will number the headings consequently, but the feature ignores different levels; if you expected 1, 1.1, 2, 2.1, and 2.2, you might be surprised. If you select the entire document first, Numbering not only ignores the different levels, but it also numbers the paragraphs!

Hello Bruce, I seem to be having a different problem altogether. I created my ticket in word using logos and text boxes as needed, ticket looks great. I followed your very clear instructions but when I did the Finish & Merge I got this message, "You cannot include DATA, NEXT, NEXTIF, or SKIPIF fields in comments, headers, footers, footnotes or endnotes." I then click on OK and get this, "A field calculation error occurred in record 1. Bruce any help would be much appreciated. Thank you!!
If the list you want is as simple as "1", "2", "3", you'll appreciate how easy it is to apply this type of numbering in legal documents. Simple numbered lists are different in Word 2000 than they were in Word 97. In Word 2000, the default for even the most basic list is multi-level. For example, if you number an item and press Enter and then press the TAB key, Word automatically formats this number as the second level in an outline numbered list format. Single and multi-level numbering are explained later in this chapter.
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