Insert th in thead

You can also use the insertCell method as originally requested. You just have to change the outerHTML to overwrite the <td> created by the insertCell method:

var table = document.createElement("TABLE")
var row   = table.insertRow(0);
    row.insertCell(0).outerHTML = "<th>First</th>";  // rather than innerHTML

To match the example given:

HTML

<table id="table">
  <thead>
    <tr>
      <th>First</th>
    </tr>
  <thead>
</table>

Javascript

var tr = document.getElementById('table').tHead.children[0];
    tr.insertCell(1).outerHTML = "<th>Second</th>"  // some browsers require the index parm -- 1