As @gerry3 stated $.ajaxPrefilter is a valid solution.
But if you want to solve a problem of dynamically changing your Headers AFTER an event, for instance, a successful LOGIN attempt, then you need to put more wires. In my case I need to send back a 'Token' Header that is provided by the server after a successful AJAX-login. But, of course, when the user initiates the App he's not logged-in already.
The problem is that once you reopen or extend the RESTAdapter, or define an ajaxPrefilter, even if you're binding it to a value (or localStorage as in my case) the class won't be following the current variable value. It's like a snapshot taken at some moment. So it's useless in my scenario.
I'm following Embercast Client Authentication which is a good start (code available), but instead of jQuery data-fetching I'm using Ember-Data.
So the trick is to observe the token and re-define the ajaxPrefilter as many times as you need it.
tokenChanged: function() {
this.get('token')=='' ?
localStorage.removeItem('token') :
localStorage.token = this.get('token');
$.ajaxPrefilter(function(options, originalOptions, xhr) {
return xhr.setRequestHeader('Token', localStorage.token);
});
}.observes('token')
Therefore, when the user logs-in he'll have a valid token and send it in every request to the server via the RESTAdapter.
Hope this helps someone.