Formal:
* Il a les cheveux très gras. (This is the most direct and literal translation.)
* Ses cheveux sont très gras. (This is another formal option, emphasizing the state of his hair.)
Informal:
* Il a les cheveux qui brillent beaucoup. (This implies that his hair is shiny due to grease.)
* Il a les cheveux qui sont gras comme de l'huile. (This is a more colorful way of saying his hair is very greasy.)
Idiom:
* Il a les cheveux qui ont besoin d'un bon shampooing. (This is a more humorous way of saying his hair is greasy, implying that he needs to wash it.)
The best way to say it will depend on the context and your relationship with the person you are talking to.