I had to do this recently, and Googling wasn’t much help. So in case any of you are in the same boat…
Do a search and replace (Ctrl+h).
In the ‘Find what’ box, leave the text blank. Click the ‘format’ button and choose ‘font’. Select the particular font, font-size, bold etc combination used for the heading you want to convert to a style.
In the ‘Replace with’ box, also leave the text blank. Click the ‘format’ button and choose ‘Style’. Click ‘Replace all’.
All your selected text should now be set to the relevant style.
You may find that the style isn’t properly applied. For example, the colour may have changed but the font and font size may have stuck.
To correct this, open the Styles pane. Right-click the desired style and choose the ‘Select all x instances’. Then left-click the style. All your newly-converted text will fully update to the desired style.