How to include column headers when copying query results in SSMS

If you want to include column headers when copying query results from SQL Server Management Studio (SSMS):

Right-click on the selected result set, and choose 'Copy with Headers' (or use use the shortcut key CTRL+SHIFT+C) to include the headers with the result set:

copy with headers in ssms

To make this a default copy option to include column headers, go to:
Tools -> Options -> Query Results -> SQL Server -> Results to Grid:

Include column headers when copying or saving the result in SSMS

Check the 'Include column headers when copying or saving the result' check box.

Changes will be only applied to new SQL Server Query Editor windows.
Now, when you copy the query results, column headers will be included every time you copy the results.