Sorry, the first example should read:

#-------------------------------------------------------
request = urllib2.Request('http://www.whompbox.com/headertest.php')
request.add_data(data)
f = urllib2.urlopen(request)

request.add_header('Content-Type', 'application/xml')
f = urllib2.urlopen(request)

# 'Content-Type: application/x-www-form-urlencoded' is sent in both
headers.  Second header (should?) be 'application/xml'
#-------------------------------------------------------