Finally, I added the headers this way:
@Override
public Response intercept(Interceptor.Chain chain) throws IOException {
Request request = chain.request();
Request newRequest;
newRequest = request.newBuilder()
.addHeader(HeadersContract.HEADER_AUTHONRIZATION, O_AUTH_AUTHENTICATION)
.addHeader(HeadersContract.HEADER_X_CLIENT_ID, CLIENT_ID)
.build();
return chain.proceed(newRequest);
}