It would be nice if you could select some results from the data grid panel and be able to include the column headings.
It would be real nice if you could then paste these selected results into a sql editor window with the option to 'paste as comments'
CTRL+Insert will include column headers.
If you want to get more specific about how the output looks....
Shift+CTRL+C will launch the export dataset dialog, pre-configured to export selected rows as delimited text to clipboard, with column headers included. Then of course you can change whatever settings you want before clicking OK.