In general I try to avoid adding new styling through the plugin, and instead add CSS classes that will allow the user to customize how they want. So this is something you'll want to add through CSS. I have some tips on how to handle that if you need to to work across multiple colour schemes.
That said, having a couple of pre-built themes is on my wishlist for this plugin. So in the future users that aren't comfortable with CSS will have an option.
This is a good question. I sort of see this plugin as bringing functionality from the viewer and placing it in the editor, but I have also added a number of options for theming so it's not like I stuck to the perfectly.
That said, there is an existing plugin to allow folder of headers in markdown, and it might be a better fit for this request.
Adding this feature exactly as you describe would be quite challenging, but basically the same thing could be added using an editor plugin.