To build some confidence in heading the ball in a challenge, you need to simulate some sort of pressure to start with.
I would not use this drill until the players are 11 years old.

Two players stand, on behinf the other. The back one should be about five yards behind the front one.
The coach is about 5 to 10 yards (you can vary it) in front, facing the two.

The coach should throw the ball so that it reaches the peak of its arc just behind the head of the front player.
The back player should then move to attack the header, moving forward and jumping to attack the ball.