All H Tags (H1, H2, H3 - H6 ) are setup directly in your Paragraph Styles. 

When creating a NEW style you have the option to set a new H Tag. 

1. Click the dropdown option directly to the right of your Style Name

2. Choose the H Tag you would like to use

Once the Paragraph Style has been saved, it's not possible to change the H Tag, instead you will need to duplicate and re-set it. 

Click Here to learn how to create New Paragraph Styles.