Here's a screenie from inside my own heRO folder. This is what you'll want to do with your sprite to test it out, except use the folder tree names from my and Kittie's post above.
This screen, obviously, shows changed palettes, instead.
If I were to jump on now, and change my palette to either 159 or 160, it would display as whatever is in those files, right up there, as opposed to whatever anyone else sees, because the client will read in whatever is in your data folder before it reads a .grf.
Instead of having .pal files, you'll want to put in the .spr and the .act, with an already current headgear file name. This will change solely that headgear into the sprite you replaced it with.
Andddd I've forgotten where I was going with this. Probably just trying to show the folder tree. If I remember my intention later, I'll edit it in.