Generally, you could specify your own DragCue to be displayed while dragging the header. Still, it is not possible to make the arrow point at the exact border where the column will be dropped. You can check the Set Drag Visual article on how to do so.
You can also find more sample code on our Drag and Drop WPF Demos (search for Reorder Rows).
Please note that when dragging and dropping a column's header, you should subscribe for the respective event handlers specifying the last HandledEventsToo parameter to True.
This is needed as RadGridView already handles those events internally.
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