Use:
response.headers['HEADER NAME'] = 'HEADER VALUE'
either in a specific method or to a before_filter method of your application controller depending on whether you need this to be added in a specific or to all of your responses.
UPDATE for Rails 5 – February 24th, 2018
As noted by @BrentMatzelle in the comments, for Rails 5:
response.set_header('HEADER NAME', 'HEADER VALUE')