I get an error in the AddObject call stating that it is Object Name is Invalid.

First of all, you need to make sure that your prg is available by issuing a

SET PROCEDURE TO < My Prg > ADDITIVE.

Then, try this code instead:

IF NOT EMPTY( This.cHeaderClass )
  FOR EACH oColumn IN THIS.COLUMNS
    *** replace the header with custom header class
    *** created in code
    FOR EACH loObj IN oColumn.Controls
      IF loObj.BaseClass = 'Header'
        lcName = loObj.Name
        oColumn.REMOVEOBJECT( lcName )
        oColumn.ADDOBJECT( lcName, This.cHeaderClass )
        EXIT
      ENDIF
    ENDFOR
  ENDFOR
ENDIF