I would definetely have some documentation in the header files themselves. It greatly improves debugging to have the information next to the code, and not in separate documents. As a rule of thumb, I would document the API (return values, argument, state changes, etc) next to the code, and high-level architectural overviews in separate documents (to give a broader view of how everything is put together; it's hard to place this together with the code, since it usually references several classes at once).
