I don't get headaches a lot, so I never really worry about it. But it would seem crying isn't a good way to keep them away. :p
SO what do you do? Keep in mind I can't swallow pills, so medicine is out of the question.
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I read this trick somewhere years ago and it usually works for me.
I lie down and relax. Close my eyes and imagine i am on the beach and the sun is shining very intensely. My hands are getting warmer and warmer from the sunshine. They are really soaking up the heat. And while i am lying there the waves gently go through my hair and cool my head. After a few minutes of imagining that scenario my hands really do get warmer and the headache will become a lot better.
Another method i read about was altermating hot and cold showers.1