It works now. My configuration looks like this:

server {
listen 80 default;

location / {
proxy_pass http://some_ip:some_port;

proxy_set_header X-h1 h1;
proxy_set_header X-h2 h2;
proxy_set_header X-h3 "h3 h3";
}
}

I hope this help anyone else with this problem.