Hi Sarai, since my headaches have nearly always been hormonal, I have found that HRT/the pill is the only thing that has really helped. However, I have friends who didn't want to go down the hormone route and have had good results from acupuncture. Could be worth a try? I know reflexology is meant to help headaches too, but I have no experience of this. If anyone else has, I'd be really interested to hear what they thought of it.
I also find that keeping well hydrated, eating regularly and avoiding red wine or citrus fruits before my period helps a lot.
Good luck x