I agree, definitely mention it to your doctor. Headaches are normal during the first trimester of pregnancy and somewhat the last, but definitely not on a regular basis (at least that's what my doctor's always told me)!
My headaches were due to high bp and I had to be put on meds to help prevent any other pre-e symptoms

But, I have a high risk for it already having developed it twice before.
I hope they go away!! headaches suck!!