The Override class exposes a 'ColumnHeaderTextOrientation' property, so you can set this on the Layout or the Band. You can also set it for an individual column using UltraGridColumn.Header.TextOrientation property. The following code sample demonstrates how to rotate the text 90 degress counterclockwise for all column headers:

private void ultraGrid_InitializeLayout(object sender, InitializeLayoutEventArgs e)
{
    TextOrientationInfo info = new TextOrientationInfo(90, TextFlowDirection.Horizontal);
    e.Layout.Override.ColumnHeaderTextOrientation = info;
}