Headache is just a normal side effect and not really anything to worry about but it could also be the stress. Make sure to increase your water intake. Being dehydrated can also cause headaches, especially if it’s warm where you are. Also make sure you eat enough. Nurture your body!
The only thing you need to be cautious of is headaches with aura, if you experience those you should see your doctor to swap birth control ASAP; but those migraines are very different from a headache.