<data:DataGrid.Columns>
                                    <data:DataGridTextColumn Header="Деталь" Binding="{Binding Value}">
                                        <data:DataGridTextColumn.HeaderStyle>
                                            <Style TargetType="local:DataGridColumnHeader">
                                                <Setter Property="Template">
                                                    <Setter.Value>
                                                        <ControlTemplate TargetType="local:DataGridColumnHeader">
........
                                                                    <ContentPresenter Grid.Column="0" Content="{TemplateBinding Content}"/>
                                                                    <TextBox Margin="3,0,0,0" Grid.Column="1"
                                                                             Text="{Binding Path=Filter}"
                                                                             MinWidth="40" FontSize="10" Style="{StaticResource TextBoxStyle1}" />
........

                                <data:DataGrid.Columns>
                                    <data:DataGridTextColumn Header="Деталь" Binding="{Binding Value}">
                                        <data:DataGridTextColumn.HeaderStyle>
                                            <Style TargetType="slv:MDataGridColumnHeader" BasedOn="{StaticResource DataGridColumnHeaderStyle1}">
                                                <Setter Property="Filter" Value="TEXT FILTER" />
                                            </Style>
                                        </data:DataGridTextColumn.HeaderStyle>
                                    </data:DataGridTextColumn>

    <Style x:Key="DataGridColumnHeaderStyle1" TargetType="slv:MDataGridColumnHeader">
        <Setter Property="Template">
            <Setter.Value>
                <ControlTemplate TargetType="slv:MDataGridColumnHeader">
.............
                            <ContentPresenter Grid.Column="0" Content="{TemplateBinding Content}"/>
                            <TextBox Margin="3,0,0,0" Grid.Column="1" 
                                     Text="{Binding Path=Filter, Mode=TwoWay}"
                                     MinWidth="40" FontSize="10" Style="{StaticResource TextBoxStyle1}" />
.............

    public class MDataGridColumnHeader : DataGridColumnHeader
    {
        public string Filter
        {
            get { return (string)GetValue(FilterProperty); }
            set { SetValue(FilterProperty, value); }
        }
        public static readonly DependencyProperty FilterProperty =
            DependencyProperty.Register("Filter", typeof(string), typeof(MDataGridColumnHeader), new PropertyMetadata(string.Empty));
    }