You can request Markdown output, which takes care of text styling like italics and bold. For sections and subsections, in my own case they already have numerical labels (like "3.1.4") so I didn't feel the need to add extra formatting to make them stand out. Incidentally, even if you don't specify markdown output, Claude (at least in my case) automatically uses proper Unicode superscript numbers (like ¹, ², ³) for footnotes, which I find very neat.