The way I found to create a link to a section (specific heading) on another Wiki page, is as follows:
1) Copy the URL (Ctrl-C) of the Wiki page (to have it ready to do the next step).
2) Create your link on the Wiki page by selecting the heading you wish to link to, such as: Section 2. Then click on the ribbon to insert link, From Address, and paste in the URL of the active Wiki page.
3) Click on the link you just created, and the LINK tab should appear.
4) Enter the Bookmark you want to use, such as: 02
5) Save the page or "Check-in" the page (if your site is using a Workflow process).
6) Go to your other page to create your new link to the Bookmark you just created and click to edit the page.
7) Enter or select the text you want to make your link to, and on the Insert tab, select Link - From Address, and paste the URL of the page you want to link to the specific bookmark (Section 2, for example).
8) At the end of the pasted URL in the link, just add the bookmark reference of that Section 2 with hashtag '#' prefix, which was created on the other Wiki page, in this example: #02. The link should look something like this: https:/mysharepoint/wiki/Pages/Instruction%20Guidelines%20for%20MDO.aspx#02
9) As an option, you can add in the Description box (on the Link tab) the title of the text heading (such as: Section 2). This will create a tooltip on the page when a user hovers over the link to click.
9) Save your page, and test the link. It should go directly to the other Wiki page and to the exact Bookmark for Section 2 (on that page).