Wait until your period is due and/or late before taking a test. To get the best results, use your first morning urine.
The headaches are from pms. Migraine headaches can be related to hormone fluctuations in women who are prone to migraines. You can chart this by charting your monthly cycle (when your period starts, ends and when you have your headaches) and you might notice a pattern.
Migraines and/or headaches are not morning sickness. Morning sickness is nausea and puking. Not headaches.
Baby dreams are just dreams. You have them when you are not pregnant just the same as when you are.
If you are not trying to get pregnant, continue using birth control to prevent pregnancy. The last day of your monthly cycle is not a good day to have sex if you want to become pregnant.
Good luck!