Maybe I’m just missing something, but how do I create a side menu like the one that appears on the Headings Page on the demo site? (http://demo.styledthemes.com/preferential/headings/) So far, when I insert a custom menu into the Page Right Sidebar, it has small font and looks nothing like the demo menu.
You can create a custom menu and insert it via the widget. There is a widget call custom menu. To do so here are the steps:
1) Go To Appearance->Menu
2) Create a menu and save it as Features Menu
3) Go to Page Right Sidebar and create a custom menu widget.
4) Select the menu that you create on the step 2.