Yeah I have the same problem.
As does this person here. (note that my post is the last one there)
http://wordpress.org/support/topic/text-editor-changing-format-to-heading-changes-all-text-size?replies=6
There are other threads mentioning this also -
The wysiwyg editor is kind of flaky for anyone who has not been using it for six months - it seems to stem from the way the text is auto formatted behind the scenes.
Its Amazing that a CMS as mature as wordpress still hasn't got the core functionality (adding and formatting text) to work well(like a normal text editor) for users who are not computer/html literate.
I suppose it being open source means that the interesting things get priority over the boring and difficult ones.
Lets optimize for the ipad.
Cool!
Lets make formatting text work the way ordinary people expect it to. Um... er.. yeah.. about that...
To solve your problem you will need to do the following:
Go to the start of the line below the heading and backspace so that the heading text and paragraph text is all on one line/connected.
Then press enter once to separate the paragaph text from the heading. (this will put a visible space between the heading and the paragraph) then highlight the heading and style it. It should be separate now.
Good luck.
If there is a better way or proper solution to this then let us know.
Cheers,
Chris.