How to theme "group by" header in a view
Theming views can be done in a number of files.  For best assistance I suggest in views you look at the "Theme Information" option.  It can be found at {drupal site}/admin/structure/views/nojs/display/{view name}/page/analyze-theme (It's under the right hand side "Advanced" column). 

On that screen you will find a list of all the files that you Drupal will look for to theme for the view concerned, ranging from the very specific (views-view-fields--{view-name}--{display-name}.tpl.php for row styling) to a slightly more generic views-view.tpl.php (Covers every view)  You can drill further down depending on what your view selects (Fields, Rendered Entity, Display Suite content etc) but the Theme information link shown above should provide you with a list of every file that you can provide to Drupal for theming.

Remember to flush your cache when you add a new theming file so Drupal knows about it.