NOTE! The span wrapping the header text and the index variable for the function was added in version 2.0.9 (it is not part of the original plugin, but the "onRenderHeader" option was available).

Demo

First Name
Last Name
Age
Total
Discount
Date
Peter Parker 28 $9.99 20% Jul 6, 2006 8:14 AM
John Hood 33 $19.99 25% Dec 10, 2002 5:14 AM
Clark Kent 18 $15.89 44% Jan 12, 2003 11:14 AM
Bruce Almighty 45 $153.19 44% Jan 18, 2001 9:12 AM
Bruce Evans 22 $13.19 11% Jan 18, 2007 9:12 AM

Javascript

$(function() {
// call the tablesorter plugin
$("table").tablesorter({
theme : 'blue',
headerTemplate: '{content} {icon}',
onRenderHeader: function(index){
// the TH content is wrapped with a div.tablesorter-header-inner by default, so just add the new class
$(this).find('div').addClass('roundedCorners header' + index );
}
});
});

CSS

.roundedCorners {
border: #000 1px solid;
padding: 2px 8px;
border-radius: 1em;
-moz-border-radius: 1em;
-webkit-border-radius: 1em;
}
.tablesorter-headerDesc .roundedCorners {
border-color: #fff;
}

HTML

Before
<thead>
<tr>
<th>First Name</th>
<th>Last Name</th>
<th>Age</th>
<th>Total</th>
<th>Discount</th>
<th>Date</th>
</tr>
</thead>
After
<thead>
<tr class="tablesorter-headerRow">
<th class="tablesorter-header"><div class="tablesorter-header-inner roundedCorners header0">First Name <i class="tablesorter-icon"></i></div></th>
<th class="tablesorter-header"><div class="tablesorter-header-inner roundedCorners header1">Last Name <i class="tablesorter-icon"></i></div></th>
<th class="tablesorter-header"><div class="tablesorter-header-inner roundedCorners header2">Age <i class="tablesorter-icon"></i></div></th>
<th class="tablesorter-header"><div class="tablesorter-header-inner roundedCorners header3">Total <i class="tablesorter-icon"></i></div></th>
<th class="tablesorter-header"><div class="tablesorter-header-inner roundedCorners header4">Discount <i class="tablesorter-icon"></i></div></th>
<th class="tablesorter-header"><div class="tablesorter-header-inner roundedCorners header5">Date <i class="tablesorter-icon"></i></div></th>
</tr>
</thead>
* Note: the tablesorter-icon was only added for emphasis in this demo, it isn't used at all by the blue template.

Next up: Header Template & Rendering ››