In my experience grid typesetting in TeX is difficult. There are simply too often one has to make manual tweaks. In your question, you ask for how to set up headings, figures, tables and so on to not use the grid. The thing is that one wants to get back to the grid, so how should one first go off grid and then return to it? What space to add/remove at the bottom and top?
In ConTeXt you have a rather complete grid system, but you still need to work a bit manually. There are several different values you can add to the
grid key. As I mentioned in the comment, you should consider the details manual.
For headings, see one way to go in the example below (found in the manual). For figures, you should aim at having images that take the place of a fixed number of lines, for tables that usually happen (right?). For math, you have some options in the above mentioned details manual.
Here is an example where the spacing around the headings look. Something that you can play with. If you have more specific questions, it might be a good idea to ask a new question with exactly that problem showing (in this question you mentioned figures, tables, ... but only showed an example with headings).
\section[title=A third title that is so long that it breaks over two lines well now it is]
If you look at the example, the last line on the third page is empty. That is because there is a new section starting on the top of the next page.
I have started out a couple of times with the ambition to work on the grid, but then there was in the end too much manual tweaking that took the time from writing.