I've got them now.
They seem to have been installed but there was no trace of a kernel-headers rpm.
I went on to try and patch the kernel and I get lots of failed messages and do I want to reverse the patch?
It seems that the 2.4.20-8 kernel that RH9 provides is a mixture of 2.4.20 and 2.4.21.
I am going to put up another post re kernel versions etc.