private void ultraGrid1_InitializeLayout(object sender, Infragistics.Win.UltraWinGrid.InitializeLayoutEventArgs e)
        {
            UltraGridLayout layout = e.Layout;
            UltraGridOverride ov = layout.Override;

            ov.WrapHeaderText = DefaultableBoolean.True;
            ov.CellMultiLine = DefaultableBoolean.True;
        }

The CellMultiline property is also available on the column in case you don't want it on every column.