>>>

>>>January         1 2     5 6 7 8 9    1213141516    1920212223    2627282930
>>>February  2 3 4 5 6     910111213    1617181920    2324252627
>>>

>
>I want to print /different/ headers every time the expression changes.
>
>The monthname was easy and I've got code to produce the header, but it's too complex for the Report Writer's expression builder. How do I pre-produce the date string and get the RW to use the correct one at the correct time?

In your situation, I'd create a separate cursor with headers, and keep the detail cursor related into it by the group expression. And in that cursor you can have the 35 day fields.