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>