The headaches could be caused by a lack of iron (I had that when i first became a vegetarian). make sure that you eat many foods that contain iron, since you're not getting that from meat now. These are some foods that contain iron:
-Beans (for canned make sure they are vegetarian) (black, pinto, lima, soy, black-eyed...)
-Dark leafy things (spinach, kale, arugula…)
-Dried fruits (raisins, apricots, peaches...)
-Nuts and seeds (cashews, peanuts, pistachio, pumpkin, sunflower, and go on and on)
-Vegetables (brussel sprouts, potatoes, broccoli, and more)
-Cereal and oatmeals
This is not the whole list but you guys get the picture right?
Hope this helps.
(I have a blog with info & recipes if you're interested http://meababes.weebly.com/