Question about HTTP Vary for Mobile

[nicole.healthline]

I'm reviewing https://developers.google.com/webmasters/smartphone-sites/redirects, and wondering  where exactly to add HTTP Vary:

1. Desktop request which has a mobile page to add “Vary: User-Agent” to the response HEADER
2. Or if the request came from mobile device, than add “Vary: User-Agent” to the response HEADER