I normally try to place keyword(s) in header tags and and link(s) on any given page. occasionaly I've had links in headers. Exactly how the search engines weigh this is anyone's guess, but I've never seen a notable difference, good or bad. Assuming you aren't doing it in a spammy way (being overly repetitive, using keywords with no relationship to the rest of the page content), you should be fine. Put the links wherever it makes the most sense for your visitors.