Document creating a custom sort-header control

Bug, feature request, or proposal:

Proposal

What is the expected behavior?

Be able to add custom controls to headers along with matSort

What is the current behavior?

It is possible to add custom controls e.g.

<ng-container matColumnDef="to">
    <mat-header-cell *matHeaderCellDef>
      <div class="vbox">
        To
        <input [(ngModel)]="filter.to">
      </div>
    </mat-header-cell>
    <mat-cell *matCellDef="let element">{{element.to}}</mat-cell>
  </ng-container>

However this does not work with matSort

What are the steps to reproduce?

Providing a StackBlitz reproduction is the best way to share your issue. StackBlitz starter: https://goo.gl/wwnhMV

What is the use-case or motivation for changing an existing behavior?

I need individual filter controls for each column in the table, all the examples use a single filter field.

Which versions of Angular, Material, OS, TypeScript, browsers are affected?

Is there anything else we should know?