Send Request Headers while Recording

Hi All, 

Is there a way to send some Request Headers and their value from the first request, or in other words while the record runs? Whitout these Headers I cannot Authenticate the user and I am not even able to reach the starting web page for the record itself. 

The functions web_add_auto_header or web_add_header are useful for the replay and if I limit my script to some URLs they obviously work. But it is really challenging to create a web_submit_data without the help of the recorder.

Thanks for the suggestions and kind regards, 
Gaetano