When building a Header Layout Section, there are Layout Section options, in the place you’d normally find Page Options. Here, you can generate your Dynamic Content Previews, and now, as can be seen in the screenshot above, you can set the Header position.
So to create a Side header, all you need to do is to set this position to the Left, or the Right, as you prefer. Then it’s simply a matter of building a Header in the same way as you normally would.
There is an option for the Header Background Color, and an option to set the width of the side header, and the Side Header breakpoint (the size screen it reverts to being a top header).