To add a new Paragraph Style click on the + icon in the lower right corner of the Paragraph Styles window.
(You will first need to select an existing style, then click the "Save as a New Style" button)
This will take any changes you made to the current Style and transfer them to a NEW style in your list.
Once created, you will be able to rename the Style as well as set the H Tag.
H-Tags are very important for SEO
Click enter on your keyboard to save!