With the java services approach it is possible to add a client side interceptor by adding the services file META-INF/services/org.jboss.ejb.client.EJBClientInterceptor to activate the interceptor if the class is accessable.
The file must be added to the client.jar in case of a simple standalone client.
And to the ejb.jar if the interceptor is used inside a server application.

For the appclient I expect that add this file to
EAR/client.jar/META-INF/services
will do the same.
Nevertheless adding the file to ear/META_INF ear/ejb.jar/META-INF do not woth either.
Also adding the class to the client.jar, as ear module or as server module with dependency did not work.

All theses Interceptors can be used if the client Main method add this with the JBoss API.

A working example can be found here
https://github.com/wfink/jboss-eap-quickstarts/tree/application-client/app-client
For the example with the services approach try
https://github.com/wfink/jboss-eap-quickstarts/tree/application-client-withServices/app-client