how to execute a SET statement on connect with phalcon/postgres?

Add them to your connection:

<?php

$di['db'] = function() {

    // Create a connection
    $connection = new \Phalcon\Db\Adapter\Pdo\Postgresql(array(
        "host" => "localhost",
        "username" => "postgres",
        "password" => "secret1",
        "dbname" => "template"
    ));

    $connection->execute('SET a.b TO "value1"');
    $connection->execute('SET a.c TO "value2"');

    return $connection;
};