How do i compile the linux kernel headers?

I have compiled and installed kernel-5.8. But it seems that the kernel headers were not installed for that kernel. How do i compile and install the headers?

I realize that, i have not explained my problem properly.I want the effect of compiling the headers to be same as doing

sudo apt-get install linux-headers-$(uname -r)

(which i can't since i did not install it through apt, I had compiled it). Actually i was trying to install Oracle VirtualBox. But it complained about headers not being present.This is the error

ERROR (dkms apport): kernel package linux-headers-5.8.0-BUILD-AUG-9 is not supported.

I wanted to solve that.