. . .
<Window.Resources>
    <local:NumerRow x:Key="NumerRow"/>
</Window.Resources>
. . .
//-- Получим индекс строки
//==========================
public class NumerRow : IValueConverter {
  public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture) {
    try { DataGridRow row = value as DataGridRow; return row.GetIndex() + 1; }
    catch (Exception e) { throw new NotImplementedException(e.Message); }
  }
  public object ConvertBack(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture) {
    throw new NotImplementedException();
  }
}
. . .
<DataGrid.RowHeaderStyle>
  <Style TargetType="{x:Type DataGridRowHeader}">
    <Setter Property="Content" Value="{Binding Converter={StaticResource IndexConverter}}" />
  </Style>
</DataGrid.RowHeaderStyle>
. . . 

private void dgv_Entity_LoadingRow(object sender, DataGridRowEventArgs e) {
  e.Row.Header = (e.Row.GetIndex()+ 1).ToString();
}