How can I add Expire headers to images?

This can be done with Apache configuration, I have used this snippet in the past in .htaccess:

ExpiresActive On 
ExpiresByType image/gif "access plus 1 month" 
ExpiresByType image/png "access plus 1 month" 
ExpiresByType image/jpeg "access plus 1 month"

Can be set up with plugin as well. W3 Total Cache (which I currently use) can do that among other things.

Overall this is not a huge performance factor. Modern browsers are smart enough about caching images even without expires set.