A screen reader user must listen to web content. He or she can't just glance at a page. Because of this, screen readers have keyboard shortcuts that allow a user to jump from heading to heading, skipping over all of the text between headings. However, this will only work if your headings are properly tagged in HTML. Otherwise, the screen reader will not recognize the text as a heading.
If you are just using the WYSIWYG, this is easy. For help styling your headings, visit How do I style my page with headers and alerts?. If you are writing your own code, please visit Headings in our Advanced Accessibility section.