How can I change the font for header cells?

You should call

ChangeRowHeaderStyle( CGXStyle( ) 
   .SetFont(CGXFont( ).SetBold(TRUE)), 
   gxOverride);

for row headers and

ChangeColHeaderStyle( CGXStyle( ) 
   .SetFont(CGXFont( ).SetBold(TRUE)), 
   gxOverride);

for column headers.