The headers and footers in your printed document output only appear once they're published, using Word's AutoText feature. Media objects define which headers or footers go with each section of your document. Each section may have a different header, although with Word's Fields feature, you can reuse headers throughout your document.
Under the Print tab > Headers tab there are three fields for Adding your Autotext entries for your First, Odd, or Even pages. The settings configured in these fields apply to this and all subsequent topics in the book structure until Author comes across a different media object at the top level of the structure.