add example for custom x-request-id header

docs/source/serving/openai_compatible_server.md

@@ -35,14 +35,17 @@ vLLM also provides experimental support for OpenAI Vision API compatible inferen
 ## Extra Parameters
 vLLM supports a set of parameters that are not part of the OpenAI API.
 In order to use them, you can pass them as extra parameters in the OpenAI client.
-Or directly merge them into the JSON payload if you are using HTTP call directly.
+Or directly merge them into the HTTP headers or JSON payload if you are using HTTP call directly.
 
 ```python
 completion = client.chat.completions.create(
   model="NousResearch/Meta-Llama-3-8B-Instruct",
   messages=[
     {"role": "user", "content": "Classify this sentiment: vLLM is wonderful!"}
   ],
+  extra_headers={
+    "x-request-id": "sentiment-classification-00001",
+  },
   extra_body={
     "guided_choice": ["positive", "negative"]
   }