You could also cheat and just use output buffering - at the very beginning of the script tree use ob_start(); to begin capturing the output. You can use headers and set cookies etc as much as you like then.
At the last line of the script tree use ob_end_flush(); to send the output. You can also grab it to a variable to further process if you wish with $buffer = ob_get_clean();
Although its not a solution as such it does allow for a more flexible coding environment AND it will solve your above problem.
Its best to flush and die if you are going to be sending a Location header:
ob_start();
/* very long snip */
header('Location: somepage.php');
ob_end_flush();
die();
This will prevent any further processing after the location change has been sent.
Just as a side note: When I speak of a script tree I mean the include path - like put the ob_start(); into a header file thats included before anything else and a footer file that flushes (and processes if required) the output buffer. Remembering, as highlighted above, that Location changes should have the script halted immediately after.
Sessions may also need to be closed with a header Location followed by a die - to use that simply
ob_start();
/* very long snip */
header('Location: somepage.php');
ob_end_flush();
session_write_close();
die();
I found that one out after hours of wondering why session data was being lost! Bear that on mind.