This is not just a new feature in SQL 2008 but it works in SQL 2005, the feature is just not on by default. To turn it on, select Tools-Options in SQL Server Management Studio. Expand Query Results with the +. Expand SQL Server. Select Results to Grid and check the box "Include Column headers when copying or saving the results." Click Ok.
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I felt dumb when I found this the first time but I feel brilliant every time I show it to someone else!