Hey Greenfrog (love the screen name btw!!)
When I hit 35 weeks I started having major headaches that would last for days and I was worried that it was high blood pressure/pre-eclampsia so I went to see my doctor.
After a thorough exam he told me this was nothing to worry about and it is fairly common. I never really asked why it's fairly common, but he was a great OBGYN, so I really didn't think to question him. He gave me some Tylenol 3 for the headaches and assured me that it was safe for me to take them if needed.
Anyway- it might be a good idea to call your doctor and let them know about the headaches. They may want you to stop in for a quick check-up. If there is something that needs to be attended to, better sooner than later I always say!
Good Luck and let us know how you are feeling...