I had used to get them every time I orgasmed, not even from sex, would be intense pain for atleast 2 hours afterwards and then would fade. I went to the doctors about it and standard protocall they sent me to a and e. There are two main diagnosis. One is a very common condition where the blood pressure build up in the head from orgasms gives you the headache, the other is more serious and could be caused by a haemorage in the brain. I was in hospital for two days, had multiple blood tests, a CT scan and a lumber puncture, everything came back fine, but it was probably worth the check. After a month the headaches stopped and I no longer get them. Though I did refrain from sex during this period. Usually they come and go over a few weeks or months at a time. I would check it out though, just in case!
Best wishes :) DS