I want to include an indented, underlined, upper- and lowercase paragraph heading ending with a period in my document instead of using \subsubsection. Anyone who knows how I can define the command for this in LaTeX?

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You can use the titlesec package; the ulem package was used for the underlining:

\documentclass{article}
\usepackage[explicit]{titlesec}
\usepackage{ulem}
\usepackage{lipsum}% just to generate text for the example

\setcounter{secnumdepth}{4}
\titleformat{\paragraph}[runin]
{\normalfont\normalsize\bfseries}{}{15pt}{\uline{\theparagraph\hspace*{1em}#1.}}
\titleformat{name=\paragraph,numberless}[runin]
{\normalfont\normalsize\bfseries}{}{15pt}{\uline{#1.}}

\begin{document}

\section{A Section}
\subsection{A Subsection}
\subsubsection{A Subsubection}
\paragraph{A Numbered Paragraph}
\lipsum[2]
\paragraph*{An Unnumbered Paragraph}
\lipsum[2]

\end{document}


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I just noted that when I include the 'explicit' in titlesec package the section/subsection disappears and I end up with something like this 1 or 1.1 instead of '1 A Section' or '1.1 A Subsection' –  Thembi Aug 16 '12 at 6:36
@Thembi when the explicit option is used you need to use explicitly pass the title as #1 in the last mandatory argument, so, for example, instead of just saying \titleformat{\section} {\normalfont\Large\bfseries}{\thesection}{1em}{} you need to use \titleformat{\section} {\normalfont\Large\bfseries}{\thesection}{1em}{#1}. If you experience any problems, please add to your question a minimal, complete example illustrating your problems. –  Gonzalo Medina Aug 16 '12 at 11:58