Just follow whatever the requirements for the essay are. When I wrote my essays I used to just use the same font/size as everything else, but put it on a seperate line and bold it. Nothing fancy, but it was clearly a heading.
Its in the guide (if you are following its formatting as well) I think its small caps for the first level of headings cant remember what it was for the second...but I have also handed essays in where I have just bolded or underlined the headings and havent heard anything negative either way. Just make sure its distinguishable from the body
I have read the citation guide and I still don't understand. I handed in the essay with headings that were in bold, same font, in capital letters...Guess we'll see what happens!