The good news is there are a bunch of options and resources available to you since what you want to do isn’t specific to Jekyll.
Depending on the server type you’re using to host your site this will vary, but if you’re using Apache you can set caching headers via a .htaccess file.
HTML5 Boilerplate has a really good one that is heavily commented that walks through all kinds of good things you’ll want to enable for improved performance (gzip compression, etc.) and security.