The best place to put styles is in a resource dictionary, referenced in App.xaml.
Resource dictionary ("StyleResources.xaml" in this example):
<ResourceDictionary
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml">
<Style x:Key="TextBlockRightAlign" TargetType="TextBlock">
<Setter Property="HorizontalAlignment" Value="Right" />
</Style>
<Style x:Key="TextBlockTitle" TargetType="TextBlock">
<Setter Property="FontSize" Value="20" />
<Setter Property="FontWeight" Value="Bold" />
</Style>
</ResourceDictionary>
Referencing the style dictionary in App.xaml:
<Application.Resources>
<ResourceDictionary>
<ResourceDictionary.MergedDictionaries>
<ResourceDictionary Source="StyleResources.xaml"/>
</ResourceDictionary.MergedDictionaries>
<ValueConverters:PriceConverter x:Key="PriceConverter"/>
</ResourceDictionary>
</Application.Resources>
Using the definition in a datagrid (column formatting here, but should work for headers as well):
<data:DataGridTextColumn Header="Charge" Width="100"
Binding="{Binding Charge, Mode=TwoWay, Converter={StaticResource PriceConverter}}"
ElementStyle="{StaticResource TextBlockRightAlign}" />
Note that the element inside the cell is a TextBlock, so you can use a style with a target type of TextBlock.