As mentioned on dev@, when creating a DOCX file from scratch, no default styles are setup. That means that your initial document can set paragraphs to eg Heading1, but it won't look any different in Word. Previous advice for this kind of case was to start from a Template document, but can be a bit of a pain. It is possible to setup some default styles in a new document, but you have to mess around with the CT* xmlbeans classes, and normally unzip a new Word-generated file to ensure you got everything you needed. Possible, but not very user friendly! We should therefore have a friendly helper on XWPFStyle to create a new Heading or Paragraph style (by font size/colour/family), and something on XWPFStyles to generate a sensible set of defaults.
Proposed methods are https://gist.github.com/Gagravarr/e7cfb245f53de334f02032fa790d7504 - feedback welcome :) Need to write some unit tests before it can be committed though!