"Headed out" is a commonly used phrase that indicates someone is leaving a particular place or situation. There are several synonyms for this phrase, each expressing slight variations in meaning. Some alternatives would be "leaving," "departing," "going out," "setting off," "moving on," or "embarking." Whatever the expression used, they all indicate a sense of leaving or moving away from where one currently is. While it is acceptable to use this phrase colloquially, it is important to vary your word choice when writing or speaking to sound more proficient and refined.