$text = '<p>This is a</p>
   <h1>Test</h1>
   <p>to see if this works </p>';

$regex = '/<h([0-6]{1})>(.+)</h[0-6]{1}>/';

echo preg_replace($regex, '<h$1><a name="$2">$2</a></h$1>', $text);

<p>This is a</p>
<h1><a name="Test">Test</a></h1>
<p>to see if this works </p>

Header 1            {#header1}
========

## Header 2 ##      {#header2}

[Link back to header 1](#header1)