protected void copyRequestHeaders(HttpServletRequest servletRequest, HttpRequest proxyRequest) {
    // Get an Enumeration of all of the header names sent by the client
    @SuppressWarnings("unchecked")
    Enumeration<String> enumerationOfHeaderNames = servletRequest.getHeaderNames();
    while (enumerationOfHeaderNames.hasMoreElements()) {
      String headerName = enumerationOfHeaderNames.nextElement();
      copyRequestHeader(servletRequest, proxyRequest, headerName);
    }
  }
Copy request headers from the servlet client to the proxy request.
This is easily overridden to add your own.
src/main/java/org/mitre/dsmiley/httpproxy/ProxyServlet.java