Off of the Column object is a HeaderTemplate object where you can put whatever template you want for a column header.

Although i really wouldnt use a StackPanel in the Template, I would probaly use a <Grid>, it would look something like this.

  <ig:TextColumn Key="Name">
                    <ig:TextColumn.HeaderTemplate>
                        <DataTemplate>
                            <StackPanel>
                            <TextBlock Text="Name"></TextBlock>
                                <TextBlock Text="Column"></TextBlock>
                            </StackPanel>
                        </DataTemplate>
                    </ig:TextColumn.HeaderTemplate>
                </ig:TextColumn>