how to add SMTP headers to e-Newsletter mails

Hi,
Im sending emails thru SMTP with mandrill, I have connected the smtp fine.
But want to add some SMTP headers to the emails I send
like this:
http://help.mandrill.com/entries/21688056-Using-SMTP-Headers-to-customize-your-messages#implementation

Is there any file I can add this to, and how do I add them, in which form of code.

Thanks so much.