XenForo does not leave its HTML code in the file system like you have been used to for years in Wordpress. You must access the compiled version of the template from XenForo's database, and pass it through XenForo's template renderers to get usable HTML. There is not an easy way to do this, because everything really is tied to index.php and all the outputs of various classes are designed to cascade into index.php in a particular way.
That said, it is completely possible to do what you are asking. I have personally done something very similar in the past for custom site pages until XenForo 1.2 added a feature that let me route the requests through index.php and made it ... somewhat easier. That is not something you can really do with Wordpress.
If you don't want to go through all the time of reverse engineering a bunch of XenForo to figure out how to get the output of 1 template into Wordpress, you might just want to copy and paste the content of the header template into a Wordpress node and then just use that. It won't be linked and won't be updated automatically if XenForo's header is, but it will be easier.
I'm sure you already know you can look at the contents of various template's in XenForo's admin area, under Appearance > Templates.