Inserting a Request header before proxying

[work at anomalizer.net]

I'd like to insert a custom HTTP header (eg: X-foobar) into a request
before doing a proxy_pass.

Is there any way to do this without changing the proxy module itself? I
read that there can be only one handler per request. Though my module
retruns NGX_DECLINED after doing its job, it doesn't seem to get executed
first and proxy_pass seems to get invoked first.