I’m writing this here so I will know where to find it. To make a proper inline headings required by APA style that are shown in Navigation pane in Microsoft Word you need to do the following:

1) select the text that should be a heading
2) add appropriate style
3) place the cursor after the heading and press Alt+Ctrl+Enter after the header to add a «style» breaker
4) format the rest of the text as usual