To add a new Paragraph Style click on the + icon in the lower right corner of the Paragraph Styles window. 

Note: new styles can only be created from the Desktop Breakpoint

(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!