Depending on what you mean by going into the headlamp harness, it could be one of two things.
First, it could be powering a set of off-road lights or fog lights that will only come on when your headlamps are on.
Many people install relays directly to the headlights to improve the brightness of the headlamps. This is used, especially when aftermarket headlights are put in. Jeep has a tendency to run power for the headlights through the switch on the dash or column because of this there’s a good voltage drop before the headlamp. This results and dimmer lights. By using a relay directly from the battery, it’ll supply the full 14.4V while the engine is running.
Never look down on anyone unless you are helping them up - Jesse Jackson