Which headers are you referring to? The ones for the Power LED, HDD Led, Power Switch and Reset Switch?
If so, the only headers that are sensitive to polarity are the Power LED and HDD Led. You can plug in the Power Switch, Reset Switch, and Speaker leads any way you want and it won't make a difference.
If you power up your PC, and you cannot see the Power light, then you need to reverse the lead. Same with the HDD light lead. Don't worry about getting it wrong the first time around--you won't be hurting anything.
I think it goes without saying that you should reverse the connectors when the system is OFF and the PSU rocker switch is also in the OFF position. Press the ATX power switch and this will drain the caps on the motherboard and PSU--then go ahead and reverse the connectors and turn everything on again. You should have lights.