You can use an interceptor to add the User-Agent header to all your requests.
For more information about okHttp interceptors see http://square.github.io/okhttp/interceptors/
Example implementation of this interceptor:
/* This interceptor adds a custom User-Agent. */
public class UserAgentInterceptor implements Interceptor {
    private final String userAgent;
    public UserAgentInterceptor(String userAgent) {
        this.userAgent = userAgent;
    }
    @Override
    public Response intercept(Chain chain) throws IOException {
        Request originalRequest = chain.request();
        Request requestWithUserAgent = originalRequest.newBuilder()
            .header("User-Agent", userAgent)
            .build();
        return chain.proceed(requestWithUserAgent);
    }
}
Test for the UserAgentInterceptor:
public void testUserAgentIsSetInRequestHeader() throws Exception {
    MockWebServer server = new MockWebServer();
    server.enqueue(new MockResponse().setBody("OK"));
    server.play();
    String url = server.getUrl("/").toString();
    OkHttpClient client = new OkHttpClient();
    client.networkInterceptors().add(new UserAgentInterceptor("foo/bar"));
    Request testRequest = new Request.Builder().url(url).build()
    String result = client.newCall(testRequest).execute().body().string();
    assertEquals("OK", result);
    RecordedRequest request = server.takeRequest();
    assertEquals("foo/bar", request.getHeader("User-Agent"));
}