On a caution keep an eye on your blood pressure. If it is high contact your ob. You can also have headaches from high blood pressure during pregnancy which could be serious. As long as your blood pressure is not high it is normal to have headaches.
When my migraines start I run a bath and lay completely down emerging my head under water. I have also placed a warm neck wrap on my shoulders. I have to keep my hair down during pregnancy because having my hair up makes my headaches worse.