The initial navigation block in the Headway Base theme displays some default links. You’ll want to replace these with your own navigation. Any other navigation blocks you add are empty until you assign menus to them.
Creating a navigation block creates a “theme location” that can be assigned a menu. Before you assign menus, it’s recommended that you give each navigation block an alias. See Block Options (Config Subtab).
To create your menus, follow the steps in the WordPress Menu User Guide in the WordPress Codex.
Tip: You may want to give each menu a name different than the alias of the block you will assign it to. It’s possible to change which block a menu is assigned to, so you may want to name your menu based on the type of links it will contain (such as “Pages” or “Categories”). You could name both the block and the menu “Top Nav,” but if you later want to swap those links with a set of links in a sidebar, the name “Top Nav” no longer makes sense for that menu.
When you reach the section “Adding Your Menu to Your Site” in the instructions, you will see a dropdown in the Theme Locations meta box for each navigation block. Use the dropdown for each block to assign a menu.
For a demonstration of this process, see the”Custom Navigation Menus” video in WordPress 101: Site Admin. Here’s a visual guide:
For information about customizing your menu’s settings and orientation, see Navigation Block Options.