How we can change the Headings Style in Acumatica grids?

If it’s a global change you can modify Acumatica controls theme files located in folder:
App_Themes\Default\00_Controls.css
App_Themes\Indigo\00_Controls.css

This is a better option than replacing the ‘ASPX.cs’ file.

I added this test style for GridHeader CSS class at the end of theme files:
.GridHeader {
  background-color: yellow !important;
  color: black !important;
  font-family: courrier !important;
}

After clearing web browser cache the changes will be applied to all grid controls inside Acumatica:

EDIT

Changing each column header individually is going to be a challenge. I see no direct access to this control in ASPX.cs file. If that’s exact then there’s only JavaScript which you can use:

document.getElementById("ctl00_phL_gridTasks_colHS_0_0").childNodes[0].style = "background: yellow !important"

You can use instructions here to setup the JavaScript object:
https://stackoverflow.com/a/56606990/7376238

Note that it is not best practice to do so and it will not pass ISV Certification if required.
Keep in mind that columns might change based on the column configurator settings (top-left button of grid).

@Thulshi it is not possible with C# but you can make it work using JS but it might behave differently by each browser I decided not to do it.