Feeds is a very powerful module, and it is much more than a basic RSS aggregator. Many people are beginning to leverage Feeds as a migration tool, and Feeds XPath Parser is emerging as a popular way to import static HTML documents. I set up a quick parser to import this page, so hopefully the example will assist you with what you are trying to do.
First, it is important to enable the debugging options when using Feeds XPath Parser. This will show you what text was matched by your various queries.
Second, the image below shows the Context and XPath queries I used to import this page. The result is that it pulls the HTML title tag along with the content under an element containing the "question-page" class.
If you are looking to pull the header elements, I think you will have to explicitly use "h1", "h2", etc. in your XPath query, but I am not sure about this. The downside of this approach is that you will have to have a source node for every page you are importing, or you will have to find a way to batch submit the import form either programmatically or through some automated tool such as Selenium, JMeter, Firefox Macro, etc.