Of course you should install the headers for your architecture. If you read the Toolchain technical notes page http://lfs.securewebservices.co.uk/l...technotes.html
it makes it clear you should be aware what platform you're building on, so copy include/asm-ppc if that's the right one. When it says
make include/asm - just run the command as the book says. The makefile should be able to figure out what platform you're building on.