What you need to do is quit Mail, start Terminal, and at the prompt enter:
defaults write com.apple.mail UserHeaders '{"Disposition-Notification-To"="your@address";}'
substituting your email address for "your@address". All messages sent with Mail will now include the Disposition-Notification-To header.
If you wish to turn it off again, again use Terminal (with Mail shut down) with the command
defaults delete com.apple.mail UserHeaders