If the clips are too heavy, in my opinion, that can cause some sort of irritation. I am not a girl/woman, so it's difficult for me to tell how it feels when one wears clips. However, if I put something on my head (even it is very light) I do feel very irritated. That is the reason why I am trying to help you out. If indeed the headache is being caused by clips, then you can either wear lighter clips or stop wearing them at all (which obviously you are doing now). Another solution could be (assuming the headache is being caused by the clips) try thinking something else instead of thinking the clips are bothering you. Divert your mind into other thoughts. I say so because the clips actually have no ability to cause you any physical pain. It's all about what is going on in your mind. If you feel embarrassed to talk to your doctor about this, I still don't think it's a problem since you can conduct an experiment by yourself by opening the clips for some days (as said by one of the respondents). Was your MRI scan taken for your brain? Sometimes a sinus headache is unnecessarily confused with a tension headache or something more serious (like a neurological disorder). So, in my opinion, it wouldn't be too bad an idea to take a CT scan image of your Para Nasal Sinuses (PNS) to rule out the possibilities of a sinus infection. By the way, you don't need a Magnetic Resonance Image (MRI) scan for sinuses. A CT scan is good enough to catch the detailed images of all your sinuses (maxillary/ethmoid/frontal/sphenoid). I am talking so much about sinusitis because my ENT doctor told me there are simply too many people who confuse a sinus headache with something such as a tension headache, depression, or a neurological disorder. They visit a psychiatrist or a neurologist and unfortunately end up taking the wrong medications. So please be careful about this and try obtaining a CT scan image of your sinuses. Hope that helps. God Bless you!