docs(ws_client): improve API's header notes

components/esp_websocket_client/include/esp_websocket_client.h

@@ -158,6 +158,10 @@ esp_err_t esp_websocket_client_set_uri(esp_websocket_client_handle_t client, con
  * @brief      Set additional websocket headers for the client, when performing this behavior, the headers will replace the old ones
  * @pre        Must stop the WebSocket client before set headers if the client has been connected
  *
+ *  Notes:
+ *  - To set multiple headers, you can concatenate them in a single line using the "\r\n" symbol.
+ *    Example:  websocket_cfg.headers="Sec-WebSocket-Key: my_key\r\nPassword: my_pass";
+ *
  * @param[in]  client  The client
  * @param headers  additional header strings each terminated with \r\n
  *