Hi Tiggy,
have you changed the actual types of food you're eating to a large extent? The reason I ask is that a drop in blood sugar levels can cause headaches, and if you're not eating enough complex carbohydrates (potatoes, pasta, cereals etc), then this could be one cause. Not wanting to second guess what you were eating before you started SW, if you were eating lots of sugary foods before, you'll need to make sure you replace the sugar with complex carbs. Also, it's good to eat little and often to keep your sugars up.
I suffer with migraines if my blood sugars drop too low.
Always seek medical advice though, if you have a headache that lasts for longer than the norm for you! Hope you feel better soon. x