For a grid widget, use the extended trigger ColumnHeader_LClicked. In this trigger you keep track of which field is sorted and in what direction. You can store this in a component variable. The text that is shown in the column header is the text of the label of the field. You can alter the text in a label using $labelproperties (introduced in Uniface 9.3). Labels do not support pictures, but ▲ and ▼ are suiteable characters. Just copy and paste these from MS Word.
If you do not use a grid widget you still can do something similar.