How to add cookie when proxy_pass via programming?

[speedfirst]

Thanks. And I want to know the time when "proxy_set_header" is executed,
because the my cookie value is related to the chosen upstream server. So
will proxy_set_header happen before upstream peer initialization or
after that?

Posted at Nginx Forum: http://forum.nginx.org/read.php?2,201413,201474#msg-201474