Can anyone please tell me how to successfully format headers in long Word for Mac documents using section breaks?

I'm working on an iMac dual core in Word for Mac 2011. I want to create a long document containing a number of chapters. I want a different header in each chapter, i.e., Chapter 1, Chapter 2, etc.

If i go to the beginning to, say Chapter 1, and I install a header saying Chapter 1. Then if I go to Chapter 2, hit a section break, and install a new header saying Chapter 2. The first section header changes to Chapter 2. If I go to Chapter 3, hit a section break and change the header to Chapter 3 all the chapters have the header Chapter 3.

What am i doing wrong?