From your computer (Twitter.com):
Click on "Change Header"
You will be sent to look for a photo on your computer, select your favorite.
Zoom in if you wish and click "Save" You will now have your header configured!
Configuring through Mobile:
Go to "Me" in the bottom right corner of the Twitter App.
Select the cog. This will open your settings and "edit profile."
Select "Edit Profile."
Click on Header.
Take photo or choose existing and save.