Declare nginx add_header globally relevant to all locations?
The add_header command works in the location, server, and http scopes. You can add it at any of those locations, but according to the documentation
These directives are inherited from the previous level if and only if there are no add_header directives defined on the current level
That means you should add it to the most appropriate block.
If you want anything to be shared between configuration files you use the include command. I use this to include some caching directives.