Probably the easiest way to accomplish this is by setting the DataGrid's ColumnHeaderStyle to a Style that sets the FontWeight accordingly. The following code shows how you could set the Style in-line, using property element syntax:
Code:
<dg:DataGrid>
    <dg:DataGrid.ColumnHeaderStyle>
        <Style TargetType="Control">
            <Setter Property="FontWeight" Value="Bold"/>
        </Style>
    </dg:DataGrid.ColumnHeaderStyle>
</dg:DataGrid>
In your actual code, you'd probably rather define a separate style as a resource and assign it.