If it is specific custom headers you are after, then you can go to the HTTP protocol preferences and add them in "Customer HTTP header fields". Once you have added them and restarted, you can filter on the headers.
For example, if the header is called X-WAP-MSISDN, after the above steps you will have a field called "http.header.X-WAP-MSISDN". You can filter on that using the display filter then. For example "http.header.X-WAP-MSISDN matches "^9715[056].*"
If you don't know the headers then you might want to try "http and frame matches <regular _expression_>" or "http and frame contains <string>"
Hope this helps
Abhik