This has been covered many times over, and a search will do you wonders to get even more opinions and answers to your question. :thumbup
For myself, personally I never put a steering damper on my R1. I had an '03 R1 and never had head shake like many people complain about. What I did was invested time and a little bit of money into ensuring my suspension was setup correctly for my height, weight and riding style. Well, as best as the factory suspension would do.
Being that you have an '02/03, I would suggest investing money in getting your suspension reworked. If it hasn't been touched, you've got at least 4 years on the oil in there and it's over due for replacing. On top of it, the factory suspension is designed for someone who weighs about 180 pounds and rides somewhat mildly. You don't need to spend a ton of money and put Ohlins on all the way around, but a decent setup of rebuilt factory forks and an aftermarket shock will run you about $1,500.
Invest in setting up your suspension correctly. It's one of the best mods you will ever do. Far too many people are focused on the bling factor, or horsepower via engine mods. All that money they put into engine and appearance mods won't give anywhere near the return on investont of a decent suspension setup will. :fact