My boyfriend just started getting "ice pick" headaches the other day. Once we figured out what it was, we gave him one 24-hour Claritin-D and the headaches stopped immediately. He'd had them on and off for two days... it's now been a week since he took the allergy pill and he hasn't had one since.
We started using decongestant allergy meds on his migraines after a friend of mine told me they worked for him. Now whenever he starts to get a migraine, he takes an allergy pill and it stops the headache.
If you decide to try it, remember to get an allergy pill WITH a decongestant... the regular allergy pill isn't enough. So get Claritin-D from the pharmacist, not regular Claritin from the shelf. Target also offers a Target brand generic, but you need to ask the Target pharmacist for the decongestant allergy pill... don't just pick up the box on the shelf.
(I'm posting this on multiple forums at my boyfriend's request... the headaches freaked him out and he wants to share what helped him in case it helps other people.)