"Where we headed?" or "Where we heading?"; which one is correct?

Farlex gives this (common) usage for headed; though this is the adjectival usage, the participle usage corresponds:

headed - having a heading or course in a certain direction; "westward headed wagons".

The present participle is certainly not a wrong alternative (as an adjective or participle), and is, as you imply, at least as logical. The fact that 'head' can be (and 'head out' virtually has to be) punctive (then, we headed west / we headed into the wind // we headed out west) as well as durative (we headed steadily west / we were heading into the wind) very probably gives rise to the choice. Between, I'd say, "So, where are we headed?" and "So, where are we heading?"

Google Ngrams show that the 'headed' version ('where are we headed') has been consistently appreciably more popular in the US since say 1985; in the UK, until about 1980, it was the other way round. The versions are now roughly equal in popularity in the UK, possibly because of the influence of American film dialogues ('headed' sounding more butch).