No, do not use a new scene heading each time. Use INTERCUT, described at the link.
Basically, a scene heading for each separate scene, then "intercut between X and Y [and Z and ...]. Then exposition or dialogue without new scene headings.
The following excerpt is cut and pasted from the link as an example; pardon any screenplay formatting errors.
INT. SHERRI'S APARTMENT - NIGHT
Sherri starts disrobing in front of her open bedroom window.
INT. LENNY'S APARTMENT - NIGHT
Lenny gets up to cross to the fridge to get a beer. He looks out his window and catches a glimpse of Sherri across the courtyard. He freezes, watching her.
INTERCUT BETWEEN LENNY AND SHERRI
Sherri sits on the bed and unbuttons her double-breasted suit jacket.
Lenny moves closer to the window for a better vantage point.
Sherri stands, hopping a few feet, trying to step out of her skirt.
Lenny, eyes glued to Sherri, moves to keep her in view. He slams his bare foot into a dumbbell on the floor.
INT. LIVING ROOM - NIGHT
Sherri, comfy on the couch, is reading a book when the phone rings. She answers it.
EXT. PHONE BOOTH - REST AREA
Lenny sips a Coke as he talks.
Hey Honey, I'm in Barstow.
INTERCUT BETWEEN LENNY and SHERRI
Oh, Honey, that's great...
you'll be here by morning.
Yep... I've got the pedal to the