Я думаю, вам придется повторно шаблонировать DataGridColumnHeader и добавить его оттуда.Вот пример.Вам нужно будет добавить ссылку на PresentationFramework.Aero
xmlns:Themes="clr-namespace:Microsoft.Windows.Themes;assembly=PresentationFramework.Aero"
<DataGrid ...>
<DataGrid.Resources>
<Style x:Key="ColumnHeaderGripperStyle" TargetType="{x:Type Thumb}">
<Setter Property="Width" Value="8"/>
<Setter Property="Background" Value="Transparent"/>
<Setter Property="Cursor" Value="SizeWE"/>
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="{x:Type Thumb}">
<Border Background="{TemplateBinding Background}" Padding="{TemplateBinding Padding}"/>
</ControlTemplate>
</Setter.Value>
</Setter>
</Style>
<Style TargetType="{x:Type DataGridColumnHeader}">
<Setter Property="Background" Value="Blue"/>
<Setter Property="BorderBrush" Value="Red"/>
<Setter Property="BorderThickness" Value="1,1,1,1"/>
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="{x:Type DataGridColumnHeader}">
<Grid>
<Themes:DataGridHeaderBorder BorderBrush="{TemplateBinding BorderBrush}" BorderThickness="{TemplateBinding BorderThickness}" Background="{TemplateBinding Background}" IsClickable="{TemplateBinding CanUserSort}" IsPressed="{TemplateBinding IsPressed}" IsHovered="{TemplateBinding IsMouseOver}" Padding="{TemplateBinding Padding}" SortDirection="{TemplateBinding SortDirection}" SeparatorBrush="{TemplateBinding SeparatorBrush}" SeparatorVisibility="{TemplateBinding SeparatorVisibility}">
<Grid>
<Grid.ColumnDefinitions>
<ColumnDefinition Width="Auto"/>
<ColumnDefinition Width="*"/>
</Grid.ColumnDefinitions>
<ContentPresenter Grid.Column="0" HorizontalAlignment="{TemplateBinding HorizontalContentAlignment}" SnapsToDevicePixels="{TemplateBinding SnapsToDevicePixels}" VerticalAlignment="{TemplateBinding VerticalContentAlignment}"/>
<Path x:Name="SortArrow"
Grid.Column="1"
HorizontalAlignment="Right" VerticalAlignment="Center"
Width="8" Height="6" Margin="2,0,5,0"
Stretch="Fill" Opacity="0.5" Fill="White"
RenderTransformOrigin="0.5,0.4"
Visibility="Collapsed"
Data="M0,0 L1,0 0.5,1 z" />
</Grid>
</Themes:DataGridHeaderBorder>
<Thumb x:Name="PART_LeftHeaderGripper" HorizontalAlignment="Left" Style="{StaticResource ColumnHeaderGripperStyle}"/>
<Thumb x:Name="PART_RightHeaderGripper" HorizontalAlignment="Right" Style="{StaticResource ColumnHeaderGripperStyle}"/>
</Grid>
<ControlTemplate.Triggers>
<Trigger Property="SortDirection" Value="Ascending">
<Setter TargetName="SortArrow" Property="Visibility" Value="Visible" />
<Setter TargetName="SortArrow" Property="RenderTransform">
<Setter.Value>
<RotateTransform Angle="180" />
</Setter.Value>
</Setter>
</Trigger>
<Trigger Property="SortDirection" Value="Descending">
<Setter TargetName="SortArrow" Property="Visibility" Value="Visible" />
</Trigger>
</ControlTemplate.Triggers>
</ControlTemplate>
</Setter.Value>
</Setter>
</Style>
</DataGrid.Resources>
</DataGrid>