API key - can I store the key in my headers?

Yes. You can supply your API key in one of two ways:

1. Header: x-cg-pro-api-key
2. Query string parameter: x_cg_pro_api_key

Note: 

API key is currently only available for CoinGecko API paid plan subscribers, all API key request should target this domain https://pro-api.coingecko.com . You are recommended to store the API key securely in your own backend and use a proxy to insert the key into the request URL.