Daith piercing

Women generally pierce their ears with the intention of adorning themselves with earrings. The jurists have mentioned that this is totally permissible and there is no prohibition in this regard even if the ear is pierced more than once.

Piercing is generally carried out on the outer portion of the ear, hence the permissibility of piercing will be confined to the outer ear. However, if your question pertains particularly to medical treatment, as you have stated in your query viz. to assist with headaches, and this is the only treatment that proves beneficial, then there is no harm in adopting the said procedure. However, if it is carried out purely with the intention of additional adornment, then there is no need for such a procedure as external piercing will suffice for the said objective.