Are there any guidelines for when you should capitalize titles/headings or not? Should you always do this in English?
I am referring to
A Capitalized Heading
A capitalized heading
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The title of a book, play, movie, etc. should be capitalized as in your first example. Exceptions would be where the author, for artistic or other reasons, has specifically eschewed capitalization.
A heading or subheading, as in a section of an article, is different. In most cases the preference is to capitalize as in your second example--the editors I know and work with pretty uniformly object to anything but an initial capital letter in heads and subheads.
This is really a question of style. A title is a title, but some titles are more important than others. For example, in a book the chapter titles are often title-case. If this is a document for your work, check for a style guide recommended by your workplace. If you are submitting it to a publisher such as a magazine, ask them. If there are no guidelines in place, I'd suggest deciding how important the headings are (as important as chapter titles in a novel?) and pick a consistent pattern.