Hi Ani, I'm very sorry to hear that. I had very frequent headaches BEFORE I went veg, and going veg helped them a lot, so I have the opposite story.
Maybe you're way ahead of me here, having had 2 years to struggle with this, but have you checked your nutrition profile and looked at vitamins/minerals you could be low on? Do you take any multivitamins? One mineral that comes to mind is magnesium-- studies have linked low magnesium levels with headaches. However, I'm not sure that switching to a vegetarian diet would cause you to have a lower magnesium intake, because I think most of the good sources of magnesium are plant-based foods anyway.
Anyway, if you haven't gone through this sort of process already, I would recommend that you try logging your food on www.FitDay.com
for a week or so and then runa report on your nutrient intake to see if anything is obviously low (Warning: FitDay doesn't track Vitamin K or Selenium correctly, so they WILL show up as low. Ignore that.) If you do find a likely suspect, try getting more of it into your diet and see if that helps.
As for replacing protein, I think it's pretty unlikely that lack of protein is your problem. I've seen a few indications that switching to a lower-protein diet may actually HELP chronic headaches rather than causing them. The type of diet most meaters eat contains far more protein than the body actually needs or can use, so replacing protein is just not the concern most people think it is. But if you really feel you need more protein in your diet, some good high protein foods include beans, nuts and seeds, whole grains, soyfoods such as tofu and tempeh, and potentially dairy and eggs if you eat them.