You can't--at least not automatically. See
http://www.shaunakelly.com/word/numbering/UseBuiltInHeadingStyles.html
If you want to do this manually, you can add a StyleRef field to the figure
number. If you display field codes, you will see that the figure number is
just a SEQ field. If you place a StyleRef field and any desired separating
punctuation before the SEQ field, this should work. I don't guarantee how
well it will work with cross-references, but in my limited testing, the
added field seems to come through okay and survive field updating.

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Suzanne S. Barnhill
Microsoft MVP (Word)
Words into Type
Fairhope, Alabama USA
Word MVP FAQ site: http://word.mvps.org
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all may benefit.
> Hi, if I am using captions to create my table numbers,
> how can I modify the drop down menu (if I select use
> chapter number) to include my customized styles? At the
> moment the drop down menu only says Heading 1 through to
> Heading 9 and I want it to display my customized heading.