Headers are not heavy. They are expensive to ship due to their size. Try greyhound, might be a better deal. Also you might try finding someone that is traveling, and could transport them. I was racing in Wilksboro, NC one time and the seller brought a set of headers to the track.I brought them down to Jacksonville FL (had to pass through, anyway) on my way home, for the buyer. Got a few dollars to help with gas.
I have transported parts this way, and received parts the same way.