Collaborative perception enables vehicles to overcome individual perception limitations by sharing information, allowing them to see further and through occlusions. In real-world scenarios, models on different vehicles are often heterogeneous due to manufacturer variations. Existing methods for heterogeneous collaborative perception address this challenge by fine-tuning adapters or the entire network to bridge the domain gap. However, these methods are impractical in real-world applications, as each new collaborator must undergo joint training with the ego vehicle on a dataset before inference, or the ego vehicle stores models for all potential collaborators in advance. Therefore, we pose a new question: Can we tackle this challenge directly during inference, eliminating the need for joint training? To answer this, we introduce Progressive Heterogeneous Collaborative Perception (PHCP), a novel framework that formulates the problem as few-shot unsupervised domain adaptation. Unlike previous work, PHCP dynamically aligns features by self-training an adapter during inference, eliminating the need for labeled data and joint training. Extensive experiments on the OPV2V dataset demonstrate that PHCP achieves strong performance across diverse heterogeneous scenarios. Notably, PHCP achieves performance comparable to SOTA methods trained on the entire dataset while using only a small amount of unlabeled data.