No, actual persistent headers and footers are still not possible with the beta. They are possible with the experimental scrollview element. Personally, I find jquery mobile to be fairly useless without the scrollview element. Sencha touch has a scrollview, but the author doesn't mention that the only reason sencha touch has had any success is that it's scope is more narrow than jquery mobile's -- sencha only works on webkit browsers. Creating a scrollview element in a webkit browser is a fairly trivial task. Creating a scrollview that will work on a windows phone is more difficult, and this kind of problem is whats hindering jquery mobile's progress, but getting it right will ensure that jquery mobile will be the dominant mobile framework come 6 months from now.

I've been using a framework called ChocolateChip-UI that allows for persistent headers (and footers, with a very minor hack) plus almost everything else you'd want. I'm using it to build a Twitter client for the BlackBerry PlayBook.

Check it out: http://www.chocolatechip-ui.com/