D'oh! This is always something which used to come up when people required headers for export from my old direct marketing days!
As of yet the best way (I have found) is to export to your text file, then open it using low level fopen() and literally iterate through each field in your table using the AFIELDS(array,alias) command and create a text string from it. Separate your field names with whatever delimiter you like and insert the row into your text file using Fputs()
There should be a parameter for it on the copy to clause don't you think?
Derren