Using heading styles <h1>, <h2>, etc containing target keyphrases has some positive effects, but the default sizes are not acceptable for visual design, so the font style is used to produce a smaller, more aesthetic font, often using Cascading Style Sheets (CSS) to apply across the whole site.
Include different keyphrases in different subheadings within document.
This is formatting using bold , italic , underline or <font> style. Bold is most important.
They are so important to SEO because the link anchor text is referenced in the algorithm to assess relevance of the target page and by implication the page they contain.