OK, I figured it out myself, here a solution for the interested: Pull a sort component from the pallete, define the column (set) by which it should sort, set "opaque" property off, set evaluation to "Now", align the sort component to the right, make it a little bit wider as your header, put it over the header so that the right aligned arrow does not overlap with the text, done. Now when you deploy the report on the JRS and run it, you will get a hyperlink over your text (column header); click it once - report content gets sorted ascending by the ccolumn (set) defined and an up-arrow is rendered, second click - it gets sorted descending and a down-arrow is represeted, third click - sort is removed (the data set reappears in the initial sort order) and no arrow is showing.
OK, I found it out myself. Put a rectangle with the specified color in the background of your data fields, set "Opaque" checked, set the Stretch Type property to "Relative to Band Height", done. Cheers, Peter