capybara_rack_header_hack.rb

module RackHeaderHack
  def set_headers(headers)
    driver = page.driver
    def driver.env
      @env.merge(super)
    end
    def driver.env=(env)
      @env = env
    end
    driver.env = headers
  end
end
World(RackHeaderHack)

Given /^I have some funky headers set by the proxy between the browser and my webapp$/ do
 set_headers({"X-company" => "Bigcorp"})
end

To make this work with current version of capybara (1.0.0 as of this writing) change page.driver to page.driver.browser