When you select the Header row with the Type tool (as Salah has), the "proxy" for setting stroke weights will be visible in your Control panel (as his shows).
To understand the way the proxy works, see this Help article:
Ah, thank you for the explanation Steve! And thank you Salah!
I was unfamiliar with that little white box with the cell boundary selection which appears when you select the Header row.
Cool little hidden feature.
After setting up my Table Style how I needed it, I tried creating a new table using that same style, just to make double-check myself.
However, two things didn't carry over into the new table:
1) The row heights defaulted to a thickness greater than I want.
2) No header row was created.
I did some digging, and it appears header/footer rows aren't remembered by InDesign's Table Styles.
But what about my #1? Is there a way I can maintain my row heights? It would save a lot of work.
Here's a screen cap illustrating what I mean - original table on the left, new table on the right.
Row heights also cannot be saved in a table style. Just like Header Rows.
Ah, that explains my confusion! Thank you Steve.
So in workflow where people are working with multiple tables of similar formatting, they typically place the table (with desired row heights & header/footer) in the Master Pages?
You could save it into a Library file (either Object Library by choosing File > New > Library), or the newer CC Library.
Then you can drag out into a new layout.
CC Libraries are better designed for sharing with others, however. (See my upcoming article in InDesign Magazine!)