Ruth
Yes, that is correct. The field header has the form customfield_shortname where the shortname is that of the custom field you have defined already. So, customfield_session or customfield_edulevel or whatever you have.
When you do the file
upload, on the screen for the course when you do the Preview, do all the field you have show up in the "Default values for 'Other fields'" or whatever other course custom field categories you have? (See example in attached screenshot where I have five fields, one of each type.)
A couple of common issues with it I have seen are:
1) The course is a duplicate or other error
If the course already exists or there is some other error with the upload file, like a missing field, then the Result field at the top of the Preview screen will be marked with a red cross. There could be any number of issues here that are not related to the custom fields at all. (See screenshot attached.)
2) The custom fields are not the same
There could be a typo in the header in the csv field. That's common. If a field is in the file but not already created on the site, the upload will just ignore it totally. If you have a field that is defined in the site but that is not listed in the upload, it will either a) use the default for the field if there is one defined, or b) if there is no default value, it will show that field to you on the screen to fill in some data if you wish.