This functionality is not built into SSI Web 8, however you may accomplish this with a little jQuery code. Below is an example. In this case, it will place "Statement A" in the blank space above the left-side list and "Statement B" in the blank space above the right-side list. You should place this script into the footer question of your semantic differential question.
Here is what the original question may have looked like:Here is what the question looks like with the list headers added: