The way I personally do it is to use some blu-tack (or white tack in this case) on the other side of the board from where I'm soldering to hold the header exactly where I want it. I then do one pin at each end of the header and check that its still seated against the board and at right angles to it. Then if everything looks good I take the tack off and finish the soldering. Once its all soldered up I give it a close look, with a magnifier if I can find it, to make sure there aren't any little bits of solder bridging any the pins. I also like to let the board cool down briefly after doing a small number of pins as if you do the whole thing in one go it can be rather warm by the end.
End result:
The white tack. I don't know how it reacts to the heat so I only leave it on while I do the first 2 pins, after which things should be fixed anyway: