[Docs] Add single request custom headers info

Author: picandocodigo

elasticsearch-transport/README.md

@@ -234,11 +234,17 @@ You can set a custom HTTP header on the client's initializer:
 client = Elasticsearch::Client.new(
   transport_options: {
     headers:
-      {user_agent: "My Ruby App"}
+      {user_agent: "My App"}
   }
 )
 ```
 
+You can also pass in `headers` as a parameter to any of the API Endpoints to set custom headers for the request:
+
+```ruby
+client.search(index: 'myindex', q: 'title:test', headers: {user_agent: "My App"})
+```
+
 ### Identifying running tasks with X-Opaque-Id
 
 The X-Opaque-Id header allows to track certain calls, or associate certain tasks with the client that started them ([more on the Elasticsearch docs](https://www.elastic.co/guide/en/elasticsearch/reference/master/tasks.html#_identifying_running_tasks)). To use this feature, you need to set an id for `opaque_id` on the client on each request. Example: