Sorry mate, I find it hard to give personal consultations on the M&H thread, as I don't always think it's the best thing for the patient.
What I would say though, is keep diary of your symptoms, as most headaches are diagnosed on the history. A simple examination from your GP (he may also want to do some simple blood tests) is usually enough to rule out any "nasties."
Persistent headaches
on coughing needs investigating further.
Your GP is your best friend.