None of the examples really do it for me.
Note: you should NOT need to hard-code any XML.
Here is an example of creating a nested header and including a parameter.
$client = new SoapClient(WSDL,array());
$auth = array(
'UserName'=>'USERNAME',
'Password'=>'PASSWORD',
'SystemId'=> array('_'=>'DATA','Param'=>'PARAM'),
);
$header = new SoapHeader('NAMESPACE','Auth',$auth,false);
$client->__setSoapHeaders($header);
Gives the following header XML:
<SOAP-ENV:Header>
<ns1:Auth>
<ns1:SystemId Param="PARAM">DATA</ns1:SystemId>
<ns1:UserName>USERNAME</ns1:UserName>
<ns1:Password>PASSWORD</ns1:Password>
</ns1:Auth>
</SOAP-ENV:Header>
