Headings may use the same font as the body, but they are not required to. Plenty of great typography uses different fonts for the body and headings. In fact, there are fonts specifically designed for each purpose -- "text" faces for the body, and "display" faces for headings, titles, posters, and so on.
If you have a single good font, it is acceptable, perhaps even preferable, to use it for both the text and the headings. When an assortment of quality typefaces are available, picking a different one for headings is common and does not inherently damage typography (although a bad font pairing can be detrimental).
Using the same font family for the body and headings will not necessarily make your document more difficult to skim. Larger sizes (using a scale), bold, italics, and small caps all provide ways to draw the appropriate amount of attention to points of interest without the use of additional font families. Just be careful not to thwack readers in the face with them.
If you want to carefully craft every detail in the design of your document, feel free to pick a different typeface for headings. If you don't want to spend time worrying about nit-picky details, use the same face as the body text, or use an established text/display pairing.