Apple Mail will allow you to select text from both the header and the body of an email, allowing you to copy both and paste (or drag) them in a single step. You must make your selection in the body of the email first, and then move to the header.
Notice that the selection shading in the body remains (although it becomes less pronounced) when you click outside of the body and move into the header. Another subtle -- but useful -- feature of Mail.
[robg adds: When I first tried this, it didn't seem to work. However, that's because I was using the Mac's standard "multiple select" modifier (Command) and trying separate click-and-drag operations. Instead, just select the message text, then keep dragging up to select the header text -- no modifier keys are required.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20031201143102799