ExchangeInterceptor is definitely in SY 1.0.0.Final. Docs on use here:
Class is present in the switchyard-api module, which is available in JBoss Nexus and is present in the modules/system/layers/soa/org/switchyard/api/main directory of your SY installation.
It's possible to set a context property which could be mapped to HTTP headers on a client REST request using this mechanism. You can also implement your own context mapper to add the headers. Or you could just set the context properties in whatever code is invoking the REST reference binding.
To provide more help, a sample application which demonstrates your use case / issue will be really useful.