It's not grammatically incorrect, but it's not the default, so it should be used carefully. "Never heard it before" is the usual, 'relaxed' phrasing. We can move most adverbs around to different parts of the sentence to change emphasis, though, and this is a great example. Moving the adverb from a more natural position to a less natural (but still grammatical) position adds formality to the sentence. We can rearrange it further and add still more formality, while also placing maximum emphasis on the adverb phrase by moving it to the beginning:
Never before have I heard such a strange phrase.
This is a well-known phrasing belonging to a somewhat archaic lexicon. Phrases like this are very often used in a tongue-in-cheek manner to make light of a situation (though all types of formality can work this way, when used deliberately). This maxed-out case might even be so idiomatic that, for an actual formal situation, the moderate option above would be the better choice (not a rule, just a judgment heavily dependent on context).
One last grammatical note: When never comes before the subject, the subject and auxiliary verb switch places. This also happens with other adverbs of frequency, such as "rarely," that emphasize infrequency. (Never did I hear; rarely had she heard)