I'd call the doctor. Some women when pregnant they can get migranes and they wont go away with out serious help. I get horrible headaches but its only when my blood pressure goes up and then when I lay down it gets better.
Migraines hurt really bad and it is important that you take care of them right away. My wife had Migraine problem for a while and the doctor suggested a tablet called Cocodamol. The name itself made me laugh every time I saw it.