Did some research... It's a term made up by that band. So you can make your own interpretation of what a "gas hed" is based on the song :) Just listen to the lyrics and you can decide for yourself.

I found this online: Gas Hed Goes West- A Gas Hed is a person that adheres to their morals despite outside interference. A gas hed is a humble, focused individual who never wavers in their march, as the song describes. from http://www.angelfire.com/mt/live/secret.html whether it's right or not I can't say, but hope it helps.

Sorry, I forgot to clarify that what I just do not find meaning is to "Gas hed", maybe because it is a nickname, but i'm not sure yet?