Cross Referencing

A cross reference is a field
It can reference numbers, text, page/section numbers, graphics etc.
Fields can be easily shown on screen
2003 - (Tools > Options)(View tab)
2010 - (Options > Advanced)(Show Document Content group)

When you create a cross reference Word creates a hidden bookmark '_REFXXXXXXXX'

Preserve Formatting During Updates

Any manual formatting applied to a "cross reference field" after it has been inserted, will not be overwritten when the field is updated.
When the field is actually inserted the field code looks like this:

{ REF _Ref123456789 \h } 

If any manual formatting is applied to this field, the field code will automatically change and look like this:

{ REF _Ref123456789 \h \* MERGEFORMAT } 

Hidden Bookmarks

Every cross reference field has a pointer to the _REF bookmark
(Bookmarks > dialog > hidden bookmarks option) - SS
You can check which bookmark a cross reference points to by right mouse clicking and selecting toggle field code.
It is not possible to display these hidden bookmarks in your document or on the screen.

Changing cross references
Ammend the text inside the bookmarks when adding text to the end

You can add more than 16,000 bookmarks within a single document.

Defining Existing Bookmarks

You could redefine the bookmark.
Select the whole heading (do not include the paragraph mark at the end) and select bookmark
On the Insert tab, click Bookmark.
Select the bookmark and press Add.
Right mouse click on the cross reference and press Update Field.