In Joomla 1.5 constructor of JDocumentPDF class comes with an array parameter to create some parameter of produced PDF.

function __construct($options = array()) {
    parent::__construct($options);

    if (isset($options['margin-header'])) {
        $this->_margin_header = $options['margin-header'];
    }

    if (isset($options['margin-footer'])) {
        $this->_margin_footer = $options['margin-footer'];
    }

    if (isset($options['margin-top'])) {
        $this->_margin_top = $options['margin-top'];
    }
    ...
}

_createDocument() purpose of JFactory class instantiates JDocumentPDF object, but does not pass any options that helpful for PDF generation:

function &_createDocument()     {

    ...

    $attributes = array (
        'charset'   => 'utf-8',
        'lineend'   => 'unix',
        'tab'       => '  ',
        'language'  => $lang->getTag(),
        'direction' => $lang->isRTL() ? 'rtl' : 'ltr'
    );

    $doc =& JDocument::getInstance($type, $attributes);
    return $doc;
}

And So I don't experience how it works and how can i set this options (margin-header, margin-footer etc)?

To set and get any qualities of JDocumentPDF

you are able to call set and obtain function on object. For instance

$obj = JFactory::getDocument();
$marginHeader  = $obj->get('_margin_header');
$obj->set('_margin_header', $value);