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Soap headers seem intimidating because the SOAP spec doesn't strictly define them or any way to define them. SOAP headers are usually an oral agreement to write cooperative code between the developer of the webservice and the developer of the client. As a result, the webservice client unit can't generate classes for the headers because they're not defined in the WSDL. They're really not too bad, though.
There is a whole section in the SDK help entitled USING SOAP HEADERS, which I recommend reading. It covers almost all of it.
The only trick is knowing what to put in the headers.