In Word 2007, you can do this to quickly set up the number format that you
want: On the Home tab of the ribbon, click Multilevel List, and then click
the predefined "1 Heading 1, 1.1 Heading 2, 1.1.1 Heading 3" number format
found under "List Library." This will apply numbering to the built-in
headings. Of course, since you want a trailing period you will also have to
modify the numbering: With the insertion point in the first Heading 1
paragraph of the document, click Home tab | Multilevel List | Define New
Multilevel List. Word displays a dialog box similar to the Customize Outline
Numbered List dialog of previous versions; use it to customize the
numbering. In this case, you should type a period after the numbers (in the
"Enter formatting for number" box) for each level.

Note that any outline-numbered list created via the "List Library" (or via
Home tab | Multilevel List | Define New Multilevel List) must be modified
via Home tab | Multilevel List | Define New Multilevel List; this also
applies to most lists created in older versions of Word.

The alternative in Word 2007 is to make use of list styles (which were
supported in Word 2003, but the advantage to using them was less apparent).
To create a list style, click Home tab | Multilevel List | Define New List
Style. Give the list style a name. To attach paragraph styles and set the
properties of the list, click the Format button, and then click Numbering.

Once created, a list style appears at Home tab | Multilevel List, under the
"List Styles" heading. You can easily modify a list style by right-clicking
it and choosing Modify from the context menu; this takes you directly to the
Modify Style dialog box.