Are you left handed? Could be straining a muscle depending onyour position and/or toy you are using. Watch the position of your head too. Migraines/headaches (especially around the time many women are premenopausal) can be caused during or after orgasm, it has something to do with expanded blood vessels (think about how hard your heart is pounding) in the head for men and women both. I have had migraines for years and yup!
even sex can cause one. If its just a headache that goes away quickly try taking and Advil or Ibuprofen about 30 minutes before getting sexually active. Works for me.
Don't be ashamed to ask your Dr. he/she probably has had sex once or twice
. Headaches can be a sign of high blood pressure too so it may be a good idea to talk to the Dr about it. Good luck.