Thanks,
I have already read this recommendation in another topic. But headers_more_module can modify header_in.headers and I wanted to do it as well. I will just modify headers_out and I will provide the cookie as a variable and use proxy_set_header. So I will avoid SIGSEGV.
One more question about reading value of a variable in my module. I have output as variable $ap_filter_gsid from my module and I need to get the value in another handler module.

Code in my module seems like:

{ ngx_string("ap_filter_sessionid"),
NGX_HTTP_MAIN_CONF|NGX_HTTP_SRV_CONF|NGX_HTTP_LOC_CONF|NGX_CONF_TAKE1,
ngx_conf_set_str_slot,
NGX_HTTP_LOC_CONF_OFFSET,
offsetof(ngx_http_ap_filter_loc_conf_t, sessionid),
NULL },

There is string "$ap_filter_gsid" in the variable sessionid in ngx_http_ap_filter_loc_conf_t struct and not the read value of the variable. I need the same for reading $arg_u from query string. I went through some module codes and I found out that I should write my function instead of ngx_conf_set_str_slot directive. I tried to write it, but it has never worked. What should be in this function.

Thanks for your advice,
Michal