You can also set headers only for specific requests. All the different objects returned by the js client provide two methods for that: header(name,value) / headers (object) methods.

Some examples:

myclient.operation('Document.GetChildren')
  .input('doc:/').header('X-NXenrichers.document','thumbnail').execute().then(...);

myclient.document('/').header('X-NXenrichers.document','thumbnail').fetch().then(...);

myclient.request('path/').headers({'X-NXenrichers.document':'thumbnail','X-NXproperties':'*'}).fetch().then(...);

I've found the answer. I could specify custom headers to the nuxeoClient using this instruction below before calling the API method :

nuxeoClient.header('X-NXDocumentProperties', '*');