Everything thing could be fine. I had headaches with both my pregnancies. The second time thats actually how I knew I was pregnant.Go to your doctor and get checked to make sure. However I will tell you, some women get "that feeling". I get headaches.
Where are you feeling the headache?
Are you also experiencing any chest pain or do you see spots?
A headache in the back of your head or the other symptoms above could be a sign of preeclampsia.
Go to doctor and get your blood pressure checked, also your urine for protein.
I am 34 weeks and have been going to doctor 3-4 times a week to check as I was showing signs of preeclampsia too.
Everything will be ok. Worst case you might get put on medication and bed rest to control it.
If you do have preeclampsia they will do their best to keep baby in as long as possible
Call your doctor. Could be nothing but also could be a sign of preeclampsia. They should check your blood pressure and urine for protein.