I too wanted to have a two line heading in my datagrid. I did various searches – I found a few people with the same need but no solutions.
I thought that there must be a way of achieving my aim but I could not find any property to set that altered the depth of the heading line.
I decided that if I couldn’t make the headings larger, then if I made the font size smaller it would achieve the same affect. I changed the size of the headerfont in the properties of the datagrid in the form designer.
I made the font size smaller and ran the program. I noticed that I was able to see less of the headings than before. I changed the value again only this time made it bigger – the depth of the column headings increased. Not at all what I was expecting from changing the value of this property.
Anyway, I hope that changing this value works for you to.