Initial Caps in Headings

This is what I was taught if you are using initial caps (or first-letter caps) in your heading:

If the word is three letters and under, use lower case: Four letters and up, use first-letter caps.

For example in this heading it would be: How to use Initial Caps in a Heading

But there are exceptions...

Quick Tip:

Of course the first word in your heading should always have an initial cap no matter how many letters in the word.