Doing so gives you two major benefits:
First, if you assign Heading Tags as you go, it helps you to organize your material.
Second, with Heading Tags already assigned, you can build your Table of Contents in just minutes.
To assign Heading Tags, open the Styles and Formatting box this way:
From the Menu at the top of the MS Word 2003 screen, choose Format.
From the drop-down menu, choose Styles and Formatting.
From the Styles and Formatting Box, assign Heading 1 (or Heading 2 or Heading 3, etc.) to paragraph titles you want to appear in your Table of Contents.
Go to the place where you want your Table of Contents to be displayed.
(Most books put the TOC at the beginning of the book, but some Kindle authors prefer to put it at the end of the book to make more room for a Sample in the front.)
From the Menu at the top of the MS Word 2003 screen, choose: "Insert"
From the "Insert" drop-down menu, choose "Reference"
From the "Reference" drop-down menu, choose "Index and Tables"
From the "Index and Tables" drop down menu, choose "Table of Contents"
A Selection Box appears to let you choose exactly what you want (for Kindle, un-tick the page numbers box)... then your Table of Contents is built and appears at the point you chose.
That's all there is to it.
If you later make any changes that could affect page numbers, come back to your Table of Contents, highlight it, then press the "Update Fields" key, F9, to have MS Word completely rebuild your TOC.