I just checked in the code for 3.2.8, and it looks like it's not supported. I also don't see much opportunity for monkeypatching it.
https://github.com/rails/rails/blob/c2193c11ad215d3a2d7d35960630b3e1902a5082/activeresource/lib/active_resource/base.rb#L1359
It woud be a great patch to submit though, especially now that activeresource has been split off into its own gem for 4.0.
update
actually you can specify headers with a raw post request. you just can't specify them with the more abstract methods like create
:
https://github.com/rails/rails/blob/c2193c11ad215d3a2d7d35960630b3e1902a5082/activeresource/lib/active_resource/connection.rb#L97