I'm assuming that your headaches don't have a physical cause. (It's not necessary to drink the entire bottle of wine when you have Cakes and Wine, for instance. And if you are trying to grow spiritually by eating strange substances, or fasting for a week, or going without sleep, your headaches are quite likely to be physical.)
That being said, this sounds to me like a classic case of not Grounding and Centering properly before you start to work with energy. Before you do anything related to energy work, you absolutely have to Ground and Center! If you don't, you will get the sort of headaches you describe, and you may also feel exhilarated for a while, and then very drained and tired. Or you may just feel drained and tired without the exhilaration!
This happens because your body is supposed to have a certain amount of energy to run properly. How much varies from person to person, and from day to day. You don't have to worry about how much you need, because your body will take care of that if you let it, just the way it takes care of digestion, or your heartbeat, or any of that sort of thing. Our bodies are very wise.
But when you start using your body to move energy, you can hurt it by over riding the automatic responses, in just the same way that you can hold your breath, or eat too much (or not enough!) And just the way that you suffer if you ignore what your body needs in more material ways, you suffer if you ignore your bodies need for exactly the right amount of energy.
Whenever you use energy, that energy has to come from someplace.
If it's coming from your own reserves, you can use it faster than you can make it, and you will wind up using it up. This will cause the headaches, and the drained feeling.
If you don't know where you are drawing it from, you may be drawing it from the people around you. This will use up their reserves, and they may get headaches, or the drained feeling. Even if you drain so little from any one person that they don't suffer physically, they will know on a subconscious level that you are draining them, and they will avoid you. And you will pick up more than their energy; you are also likely to get whatever they are feeling, or whatever sickness they are fighting. It's a good way to end up being very imbalanced.
However, if you draw the energy you need to use from the Earth, it's always good and clean, and you can't run out. You don't need to worry about hurting the Earth by doing this, either, because the Earth is nice and big, and makes plenty of energy, and because you are also sending the energy you have expended back to the Earth to be regenerated. When you are doing this properly, it's like the circulation of blood in your body. It leaves the heart, and goes to your limbs where the oxygen is used up. But then it goes back to your heart, and into your lungs where more oxygen is put back in so that it's ready to go back out to your limbs again. If your hand tried to run without being "hooked in" to your circulatory system it would be in trouble right away.
Of course, your hand can't make that kind of decision. But we can! And when we try to use energy without being "hooked in" to the Earth's energy circulatory system, we run into trouble.
I hope I've managed to make this clear. The best way to learn to Ground and Center, of course, is to have your teacher explain it to you, and watch you to make sure that you are doing it right. But if that isn't an option for you, I've written an exercise that should see you through.
Before you do that, though, I need to tell you that you should be able to feel the difference when you are properly Grounded and Centered. If you don't, I strongly suggest that you not manipulate energy until you do find a teacher that can help you. (Tell the Universe you need a good, reliable, ethical teacher who can teach you the things you need to know. Do this by holding your firm intention to work as hard as you need to to learn in your mind, and stating this out loud. Then prepare to be surprised!)
OK. I'm ready for the exercise.
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