It is possible to add custom headers to mails your are sending with Mail.app. You need to open the Terminal.app and use the following commands.
defaults write com.apple.mail UserHeaders '{
"X-What-Happen" = "Somebody set up us the bomb.";
"X-Accept-Language" = "de, en";
}'
To read the content of your UserHeaders:
defaults read com.apple.mail UserHeaders
To delete the content of your UserHeaders:
defaults delete com.apple.mail UserHeaders