Today I stumbled across an excellent open source library called NWebSec
Basically, the main goal of the project is to make setting Security Headers in ASP.NET applications super easy.
And it is. The NuGet package adds a bunch of things to your web.config and then the docs at http://docs.nwebsec.com explain everything super clearly.
If you're in need of this, it's so much easier than doing everything by hand.
Thanks to the guys @NWebSec for creating such a great library.
Route to finding this library: