For heat sensitve folks like myself, this is not fun, but sometimes it's the only thing that works for me when I have an allergy related headache.
In the bathroom sink, use a couple of tablespoons of epson salt and fill with hot water. Drap a towel over your head and breathe in the steam for about a minute. This makes me a little overheated, which is not fun, but it's sometimes worth it to get rid of the headache.
I also use decongestants. Antihistamines (sp?) dry my sinus' too much and give me sinus infections. Had tons of sinus infections as a kid and no one could understand why. Went to college, and some one suggested the drying out of sinus cavity. What'd ya know. I only get them once in awhile now.
Since I'm allergic to a lot of stuff, including some chemicals (I'm even allergic to that brand name baby laundry detergent

), I have constant sinus issues. I've had to learn what I can even bring into the house as far as cleaning and beauty products go.
Best of luck.