the answer is 'it depends'
There is a wordpress requirement that all parts of a theme be in the theme folder - in this case it means the header images.
If you do an automatic wordpress upgrade, it deletes ALL the content of the theme folder before installing the new contents (thus the images are wiped out.
If you do a manual install, you could delete everything but the images/header folder and then upload everything but the images/header folder thus preserving your images.
There is a good possibility that in a future release you will be able to put your images in a folder in the wp-content folder and just point to it - no time frame at the moment, sorry.
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Juggledad | Forum Moderator/Support