I've decided that since my stupid insurance doesn't cover nutritionists (WHY??? Is obesity not an epidemic? I'm not obese but I'm just saying, you think they'd want to cover nutritionists and that in turn would reduce visits to other doctors for diseases that result from obesity - oh wait, then they wouldn't get as much money), I'm keeping a food diary. I'll track what I eat for a few months, and write down my headaches, which I already do, and then analyze it myself. If I don't find any trends, I'll show my neurologist or maybe see a nutritionist and pay for it myself.
If you want to find out more about keeping a food diary, see what About.com says about it.