Hi Kevin,
Unfortunately, there is currently no built-in way to do this with the library. It would be possible to patch the library to make this happen - for example, AdWordsHttpSender could be modified to set a property into the messageContext prior to sending, or the AdWordsServiceFactory could be modified to use the CommonsHttpSender as described here:
http://wiki.apache.org/ws/FrontPage/Axis/AxisCommonsHTTP
We're added this to our TODO list to investigate adding for the rewritten java client library.
Note: issues like the ones you describe above are usually problems with proxy servers misbehaving. Are you using a proxy server?
- Kevin Winter
AdWords API Team