>I saw a trick where you can sort a column by clicking on the header. I'd like to use this, but it's too time consuming to add the code to every header. So I thought I'd make a header class. But VFP doesn't like it when I try to do that. Is there a way to subclass the header class?
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>Another issue is putting indexes on every field in every table so it can sort. Is this a good idea? I'm wondering if that would slow things down significantly.

If you can use cursors for the grids, you can do the indexing (which is temporary) right in the header click, so there isn't any wasted indexing...