Hey, I took Effexor for two months when I first started meds. The headache is normal. What it is doing is putting a synthetic version of the beta blocker into your brain. The headache is supposed to go away after a couple months. 4Maddie is correct. If you stop taking it your withdrawals will not happen. The chemicals will slowly filter out. The meds I went to without any issues after that is Citalopram. There is a headache as it works its way in but not as bad as the other. Also, I've experienced sexual side effects with both and Citalopram also doesn't have as severe ones. All of this of course depends mostly on your body and how it chooses to react.
What you are feeling now is the effects of the Effexor getting into your system. I don't think you will have many withdrawal symptoms if you stop after such a short time. You may get some brain zaps and worse headaches until the medication has left your system. On the other hand, you may not feel anything at all. Just be prepared in case you get withdrawals.
You're on a low dose and only have been on this med for a short time so you most likely will not have any withdrawal. Do talk to your Dr though to see if you need to taper. I really don't think you will.