Ok I will respond my own question, but someone might find it useful
In the file /www/server/panel/vhost/openlitespeed/detail/yoursite.com.conf
(the "panel" folder I think its from my specific panel, you might have another name)
You have to add this code
context / {
extraHeaders...
I´ve been trying (with little success) to put some expire and security headers. Since my panel shows the "Include file detected in configuration file" warning, I can´t do it from there.
The expire headers I could workarund it by using the cloudflare TTL expire setting. But with the security...