docs: fixed the documenation for ngx.req.set_header and made it explicit that the modified request headers will be inherited by the subrequests. thanks James Hurst for reporting this nit.

README

@@ -2415,8 +2415,11 @@ Nginx API for Lua
     header_filter_by_lua*, body_filter_by_lua*
 
     Set the current request's request header named "header_name" to value
-    "header_value", overriding any existing ones. None of the current
-    request's subrequests will be affected.
+    "header_value", overriding any existing ones.
+
+    By default, all the subrequests subsequently initiated by
+    ngx.location.capture and ngx.location.capture_multi will automatically
+    inherit the new header.
 
     Here is an example of setting the "Content-Length" header:
 

README.markdown

@@ -2274,7 +2274,8 @@ ngx.req.set_header
 **context:** *set_by_lua*, rewrite_by_lua*, access_by_lua*, content_by_lua*, header_filter_by_lua*, body_filter_by_lua*
 
 Set the current request's request header named `header_name` to value `header_value`, overriding any existing ones.
-None of the current request's subrequests will be affected.
+
+By default, all the subrequests subsequently initiated by [ngx.location.capture](http://wiki.nginx.org/HttpLuaModule#ngx.location.capture) and [ngx.location.capture_multi](http://wiki.nginx.org/HttpLuaModule#ngx.location.capture_multi) will automatically inherit the new header.
 
 Here is an example of setting the `Content-Length` header:
 

doc/HttpLuaModule.wiki

@@ -2208,7 +2208,8 @@ Removing the <code>max_headers</code> cap is strongly discouraged.
 '''context:''' ''set_by_lua*, rewrite_by_lua*, access_by_lua*, content_by_lua*, header_filter_by_lua*, body_filter_by_lua''
 
 Set the current request's request header named <code>header_name</code> to value <code>header_value</code>, overriding any existing ones.
-None of the current request's subrequests will be affected.
+
+By default, all the subrequests subsequently initiated by [[#ngx.location.capture|ngx.location.capture]] and [[#ngx.location.capture_multi|ngx.location.capture_multi]] will automatically inherit the new header.
 
 Here is an example of setting the <code>Content-Length</code> header: