The Grid WPF team has created this sample to show how TextWrap can be applied to the Header row of the Grid.
Download sample: WPF_GDCHeaderWrap
this.grid.ModelLoaded += (s, a) =>
{
this.grid.Model.HeaderStyle.TextWrapping = TextWrapping.Wrap;
this.grid.Model.HeaderStyle.TextTrimming = TextTrimming.None;
this.grid.Model.ResizeRowsToFit(GridRangeInfo.Row(0), GridResizeToFitOptions.None);
};