A slight update to the above code by Joseph:
When you add a Thead scroll bar and change its position on scroll event, it gets called thousands of times in a minute which will make your browser respond slowly resulting in a slow scrolling X horizontal bar. To avoid this add throttle like shown below which will basically make sure that the function is executed once in 100 milli seconds.
"fnInitComplete": function(){
// Enable THEAD scroll bars
$('.dataTables_scrollHead').css('overflow', 'auto');
// Sync THEAD scrolling with TBODY
$('.dataTables_scrollHead').on('scroll', $.throttle( 100,function () {
$('.dataTables_scrollBody').scrollLeft($(this).scrollLeft());
}));
}