Hi Dragon,
I don't know if this is of any help to you but I suffer from bad headaches and anxiety too and the three things that have helped me more than anything else are the following:
1. Learning a relaxation technique (do two or three times a day for 20 minutes each time). It sounds like a lot of time to devote to it and it can take a few weeks to produce positive effects but it can really help. The regularity with which you practise seems to be the important thing, even if you do it for 10 minutes instead of 20.
2. Drinking a lot more water (2-3 litres (I think that's about 2-3 quarts)) and taking a small amount of unrefined sea salt every day. This is based on the work of Dr Fereydoon Batmanghelidj. There are some instructions and cautions surrounding the use of water and salt for curative reasons, so please check out the following web sites for Dr F Batmanghelidj's water cure:
http://www.watercure.com/
and
http://www.watercure2.com/
3. Giving up anything with caffeine in it - that includes tea, coffee, sodas, caffeinated spring water, chocolate, coffee-flavoured things (such as cappuccino yoghurt, some brands of which contain caffeine), etc.
You have to give up caffeinated stuff slowly, otherwise you'll get a vicious caffeine-withdrawal headache (I do, anyway, and so do a lot of people who give it up too suddenly). Check out Stephen Cherniske's site - he wrote a book called Caffeine Blues:
http://www.caffeineblues.com/
In his book, Cherniske argues that caffeine plays a very large part in anxiety problems and headaches (tension, migraine, etc.), as well as ADD and other things.
Anxiety and headaches have formed a large part of my life and I have found that these three strategies have helped me without forcing me to make too many huge changes all at once. They have been a good starting point for me, anyway.
All the best,
Rhoda