Yes I'm using a ColumnHeaderStyle.

Here the code: 

Style x:Key="DarkDataGridColumnHeaderStyle" TargetType="System_Windows_Controls_Primitives:DataGridColumnHeader">
      <Setter Property="Foreground" Value="#FFE2E2E2"/>
      <Setter Property="HorizontalContentAlignment" Value="Center"/>
      <Setter Property="VerticalContentAlignment" Value="Center"/>
      <Setter Property="FontSize" Value="10.5"/>
      <Setter Property="FontWeight" Value="Bold"/>
      <Setter Property="IsTabStop" Value="False"/>
      <Setter Property="SeparatorBrush" Value="#FFC5C5C5"/>
      <Setter Property="Padding" Value="4,4,5,4"/>
 
      <Setter Property="Template">
       <Setter.Value>
        <ControlTemplate TargetType="System_Windows_Controls_Primitives:DataGridColumnHeader">
         <Grid x:Name="Root">
          <Grid.ColumnDefinitions>
           <ColumnDefinition Width="Auto"/>
           <ColumnDefinition Width="*"/>
           <ColumnDefinition Width="Auto"/>
          </Grid.ColumnDefinitions>
          <Grid.RowDefinitions>
           <RowDefinition Height="*"/>
           <RowDefinition Height="*"/>
           <RowDefinition Height="Auto"/>
          </Grid.RowDefinitions>
          <VisualStateManager.VisualStateGroups>
           <VisualStateGroup x:Name="CommonStates">
            <VisualStateGroup.Transitions>
             <VisualTransition GeneratedDuration="00:00:0.1"/>
            </VisualStateGroup.Transitions>
            <VisualState x:Name="Normal"/>
            <VisualState x:Name="MouseOver">
             <Storyboard>
              <ColorAnimationUsingKeyFrames BeginTime="0" Duration="0" Storyboard.TargetName="BackgroundRectangle" Storyboard.TargetProperty="(Shape.Fill).(SolidColorBrush.Color)">
               <SplineColorKeyFrame KeyTime="0" Value="#FF448DCA"/>
              </ColorAnimationUsingKeyFrames>
              <ColorAnimationUsingKeyFrames BeginTime="0" Duration="0" Storyboard.TargetName="BackgroundGradient" Storyboard.TargetProperty="(Shape.Fill).(GradientBrush.GradientStops)[3].(GradientStop.Color)">
               <SplineColorKeyFrame KeyTime="0" Value="#7FFFFFFF"/>
              </ColorAnimationUsingKeyFrames>
              <ColorAnimationUsingKeyFrames BeginTime="0" Duration="0" Storyboard.TargetName="BackgroundGradient" Storyboard.TargetProperty="(Shape.Fill).(GradientBrush.GradientStops)[2].(GradientStop.Color)">
               <SplineColorKeyFrame KeyTime="0" Value="#CCFFFFFF"/>
              </ColorAnimationUsingKeyFrames>
              <ColorAnimationUsingKeyFrames BeginTime="0" Duration="0" Storyboard.TargetName="BackgroundGradient" Storyboard.TargetProperty="(Shape.Fill).(GradientBrush.GradientStops)[1].(GradientStop.Color)">
               <SplineColorKeyFrame KeyTime="0" Value="#F2FFFFFF"/>
              </ColorAnimationUsingKeyFrames>
             </Storyboard>
            </VisualState>
           </VisualStateGroup>
           <VisualStateGroup x:Name="SortStates">
            <VisualStateGroup.Transitions>
             <VisualTransition GeneratedDuration="00:00:0.1"/>
            </VisualStateGroup.Transitions>
            <VisualState x:Name="Unsorted"/>
            <VisualState x:Name="SortAscending">
             <Storyboard>
              <DoubleAnimationUsingKeyFrames Storyboard.TargetName="SortIcon" Storyboard.TargetProperty="Opacity">
               <SplineDoubleKeyFrame KeyTime="0" Value="1.0"/>
              </DoubleAnimationUsingKeyFrames>
             </Storyboard>
            </VisualState>
            <VisualState x:Name="SortDescending">
             <Storyboard>
              <DoubleAnimationUsingKeyFrames Storyboard.TargetName="SortIcon" Storyboard.TargetProperty="Opacity">
               <SplineDoubleKeyFrame KeyTime="0" Value="1.0"/>
              </DoubleAnimationUsingKeyFrames>
              <DoubleAnimationUsingKeyFrames Storyboard.TargetName="SortIconTransform" Storyboard.TargetProperty="ScaleY">
               <SplineDoubleKeyFrame KeyTime="0" Value="-.9"/>
              </DoubleAnimationUsingKeyFrames>
             </Storyboard>
            </VisualState>
           </VisualStateGroup>
          </VisualStateManager.VisualStateGroups>
          <Rectangle x:Name="BackgroundRectangle" Grid.ColumnSpan="2" Grid.RowSpan="2" Fill="Black" Stretch="Fill"/>
          <Rectangle x:Name="BackgroundGradient" Grid.ColumnSpan="2" Grid.RowSpan="2" Stretch="Fill">
           <Rectangle.Fill>
            <!--<LinearGradientBrush EndPoint=".7,1" StartPoint=".7,0">
             <GradientStop Color="#A1FFFFFF" Offset="0.015"/>
             <GradientStop Color="#F9FFFFFF" Offset="0.375"/>
             <GradientStop Color="#E5FFFFFF" Offset="0.6"/>
             <GradientStop Color="#C6FFFFFF" Offset="1"/>
            </LinearGradientBrush>-->
         <LinearGradientBrush EndPoint="0.7,1" StartPoint="0.7,0">
    <GradientStop Color="#FFA3AEB9"/>
    <GradientStop Color="#FF8399A9" Offset="0.375"/>
    <GradientStop Color="#FF718597" Offset="0.375"/>
    <GradientStop Color="#FF000000" Offset="1"/>
   </LinearGradientBrush>
           </Rectangle.Fill>
          </Rectangle>
          <ContentPresenter Cursor="{TemplateBinding Cursor}" HorizontalAlignment="{TemplateBinding HorizontalContentAlignment}" Margin="{TemplateBinding Padding}" VerticalAlignment="{TemplateBinding VerticalContentAlignment}" Grid.RowSpan="2" Content="{TemplateBinding Content}"/>
          <Rectangle x:Name="VerticalSeparator" VerticalAlignment="Stretch" Width="1" Visibility="{TemplateBinding SeparatorVisibility}" Grid.Column="2" Grid.RowSpan="2" Fill="{TemplateBinding SeparatorBrush}"/>
          <Path HorizontalAlignment="Left" x:Name="SortIcon" VerticalAlignment="Center" Width="8" Opacity="0" RenderTransformOrigin=".5,.5" Grid.Column="1" Grid.RowSpan="2" Fill="#FF444444" Stretch="Uniform" Data="F1 M -5.215,6.099L 5.215,6.099L 0,0L -5.215,6.099 Z ">
           <Path.RenderTransform>
            <TransformGroup>
             <ScaleTransform ScaleX=".9" ScaleY=".9" x:Name="SortIconTransform"/>
            </TransformGroup>
           </Path.RenderTransform>
          </Path>
         </Grid>
        </ControlTemplate>
       </Setter.Value>
      </Setter>
      <Setter Property="Background" Value="{x:Null}"/>
     </Style>