To create a new section from your currently active paragraph, click the little blue circle on the right hand side of a paragraph, and you will find an option to Split to New Section. For example:
Note that this does not just change the current paragraph to something that looks like a heading. The text after the paragraph where you used "Split Section" will become paragraphs for a newly created section. That is, we want you to think about the document structure in sections, subsections, subsubsections and paragraphs, so the thing you create with this action doesn't just look like a paragraph that has a heading like presentation style, but it semantically represents the heading in a section (or a subsection, etc) of text, depending on what level of the document it is.