How to configure sqlite to display headers by default

From the fine manual:

INIT FILE
sqlite3 reads an initialization file to set the configuration of the interactive environment.
[…]
If the file ~/.sqliterc exists, it is processed first. can be found in the user’s home directory, it is read and processed. It should generally only contain meta-commands.

So just put a file called .sqliterc in your home directory and put this in it:

.headers ON