EDIT: This method used to work... doesn't seem to any more... boohoo.
http://email.about.com/od/macosxmailtips/qt/etalwaysreplyto.htm
A Reply-To Header Not Once, Not Twice, But Always
You know how to add a "Reply-To" header to an email you are composing in Mac OS X Mail, and you do find it useful. But also cumbersome if one wants every outgoing email to carry that information — and that's what you want.
Fortunately, Mac OS X Mail has a somewhat concealed facility that lets you add any header — include a "Reply-To" line — to emails you send automatically.
Add a Reply-To Header to All Emails You Send in Mac OS X Mail
To make Mac OS X Mail add a custom "Reply-To" header line to all emails you send:
Open Terminal.
Type "defaults read com.apple.mail UserHeaders".
Press Enter.
If that command returns "The domain/default pair of (com.apple.mail, UserHeaders) does not exist":
Type "defaults write com.apple.mail UserHeaders '{"Reply-To" = "reply-to@address"; }'" (excluding the outermost quotation marks) and replace reply-to@address with the address you want to be used for replies.
If the "defaults read" command above returns a line of values that starts with "{" and ends in "}":
Highlight the entire line. It might read something like {Bcc = "bcc@address"; }, for example.
Press Command-C.
Type "defaults write com.apple.mail UserHeaders '" (excluding the outer quotation marks).
Press Command-V.
Type "'".
Insert '"Reply-To" = "reply-to@address"; ' in front of the closing "}" character, replacing reply-to@address with the email address you want to be used for replies.
The line might now read defaults write com.apple.mail UserHeaders '{Bcc = "bcc@address"; "Reply-To" = "reply-to@address"; }', for example.
Press Enter.
Caution
Unfortunately, this method of adding a Reply-To header works too well in some situations. Once in place, there is no way to make Mail not append it to a particular mail. You cannot change the address while composing a message either.
To make any changes to the Reply-To header, you have to go the route of the terminal.
Disable Automatic Reply-To Headers Again in Mac OS X Mail
To turn off all "Reply-To:" headers:
Execute "defaults delete com.apple.mail UserHeaders" at a Terminal prompt to delete all custom headers or set UserHeaders back to what it was before you added "Reply-To".