Silverlight: How do you bind to control/s in the DataGridTextColumn.HeaderStyle?

Question

I have a datagrid and had the idea of including a comboBox in the header with distinct values for the column it's in - see xaml snippet below of the combo. However I have no idea how to populate / bind to the combo. Apparently silverlight best practice is to avoid "searching" the control tree for "x:name"s and instead setup a data structure that reflects the xaml and let binding do the work? Any help would be much appreciated.

I should add the VS2008 output window doesn't display any "BindingExpression" errors - "binding" of that control doesn't seem to get that far.

                <data:DataGridTextColumn.HeaderStyle>
                    <Style TargetType="dataprimitives:DataGridColumnHeader">
                        <Setter Property="ContentTemplate">
                            <Setter.Value>
                                <DataTemplate>
                                    <ListBox>
                                        <DataTemplate>
                                            <ComboBox ItemsSource="{Binding MyHeadingList}"></ComboBox>
                                        </DataTemplate>
                                    </ListBox>
                                </DataTemplate>
                            </Setter.Value>
                        </Setter>
                    </Style>
                </data:DataGridTextColumn.HeaderStyle>