How to add Correlation Token parameter to web api request?

I'm using web api without deep understanding what it is, just knowing that each editable entity become a resource, that means has the uri, when web api provides the interpretation of PUT, POST, GET, DELETE HTTP commands to support CRUD operations. But what if for tracing/logging purpose I need to send correlation token together with e.g. GET request? Are there any recommendations and techniques to add to the HTTP request/routing "technical parameters"?

I have found something that need to be tested https://webapicorrelator.codeplex.com/ But actually I would prefer just to understand how it could work...

Or just add it to the heder using jquery ajax headers:

return $.ajax({
            // have to use synchronous here, else the function
            // will return before the data is fetched
            url: url,
            data: { ElectrodeId: electrodeId },
            headers: { "X-CorrelationToken": correlationToken }, 
            method: "POST",
            dataType: "json",
            success: function (data) {

            }