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From the few books I have read they seem to vanish or dissolve away after death in the material realm, but then grey knights come with some a couple of severed daemon head bits.
Do grey knights have special powers that allow them to wave daemon gore around? Or have they killed these daemons in a special way that prevents the bodies from vanishing? Or do daemons not vanish or not always vanish after death in the material realm?

A daemon's "Body", is kind of like a puppet it uses to project itself from the warp, where it's true self lies.

If it were slain, it's "Puppet" body could still exist in realspace, if it were sustained by warp energy. I Think this is how the GK's do it, they are all psykers, and by channeling a small amount of energy from the warp, they can sustain their trophy, as a kind of talisman against other daemons.

But it's a good question.

It might depend on the writer, although it is quite possible and not too difficult to come up with an explanation for the differences - ranging from the daemon's power/nature to the local condition of the veil between realspace and immaterium, all the way to special ways to kill them off. One might theorise that keeping a part of a daemon "locked" in realspace and under containment by experienced personnel would preemptively weaken the daemon should he ever take form again. Either by increasing the time it needs to spend in the Warp to regain its strength, or by making it weaker when he crosses over again.

The deamon heads in the box probably represent a grey knight who has just killed a deamon due to the pose.

For the most part, I think they either evacuate the daemonhost they were inhabiting, or the temporary body construct they've made for themself will dissolve. However, if there is one thing daemons of chaos are not, it's consistent. A daemonic trophy is certainly within reason, I think.

Orks could do it. Sustain the trophy's physical form with their latent psychic powers. Plus it would be neat if your warboss had a hat made out of a bloodthirster or something.

I think Jimsolo hit the nail on the head. When a Daemonhost becomes totally possessed, their body mutates to take the appearance of the daemon that possessed them, and keeps that form even if the daemon leaves their body on death.

So, it's possible the heads are from daemon-possessed folk, rather than actual, incorporeal daemons.

GW sculptors possess the special ability to ignore established fluff.

Go for it and use Daemon Heads as trophies...if someone asks you could always make up an explanation...the Daemon WANTS to have his head materialised to taunt his opponents in the middle of battle...

Also Valkyria the Bloody keeps a Daemon of Slaanesh's still "living" head on her shield

That's more because no matter what she tried, Locephax wouldn't shut up though.

Also in the 7th ed WoC book it is mentioned that some arcane armour was bought with a bag of sorcerer's bones and a pickled bloodletter's head. So I guess anything is possible?

because it looks cooler on models to have severed head than a little bit of warp dust, unless if your Draigo of course

It could be possessin a statue of something and warping it to it's image.

Daemon body parts is something that I've seen vary fluff-to-fluff quite a bit. Some people say Daemons dissolve fully back into the Warp when they die without a trace (such as in the Space Marine video game), others that they leave behind corpses and only their essence goes back to the Immaterium.

It could be that if you keep a Daemon's body around in the material world it is prevented from coming back. Or at the very least the trophy would dissolve and let you know he's coming back.