As Franco indicated, you have to do it in code, but it does not have to live in a prg. I have been doing this very thing with header class for several years with great success.

Getting it into the VCX is a little trickie, you have to hack the VCX (Drew Speedie's hack tool is great for this). Add say a custom class to your VCX and then hack it and change the class to a "column", then add properties, event and method code.

The code can then be added to your grid at design time with a builder.