Hello! "Heading out" is quite informal, for friends and family, maybe at work if you are with coworkers you feel very comfortable with (probably not if you are in a meeting with bosses). You can also say it if you are at a party or out with friends and you want to leave, as in "I'm heading out, guys."

It can be found in formal or informal speech, and in reality "out " is not part of the verb. In spite of it's appearance, it is not really a phrasal verb - the article "out" does not change the meaning of "head", and is an abbreviation for the following adverbial phrase. "To head" is to set course, and you can see it in almost any context. Speeches, classic books, newspapers and sentences full of slang. Normally it is followed by a description of the direction. "They headed south" "They headed to England" "They headed to Mars" "They headed straight into the dark hole" "They headed inside" "They headed around the forest" "They headed in" "They headed up" "They headed out" It is not a matter of formal or informal speech. "Head" is simply a common verb that needs a mention of the destination. Sometimes the destination is "out" and the context implies out of what. The preposition "out" often assumes where he person is heading from. In mos cases it is easy to complete the abbreviation with "of town" "of the room" "of the party" A presidential speech could say "we are heading out of recession" and a drug dealer could say it with many swear words.