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.