Bad idea. Do *not* cut yourself... what I'm betting that refers to is endorphins that are released when you're in pain that take away pain.

I'm guessing you've taken Advil or Tylenol or something like that? Try a cold cloth, and try to sleep. If it doesn't go away, you can check out this link - http://www.medicinenet.com/headache/article.htm which might help you identify if it is actually a headache, and not something else causing the pain (like posture or any other physical condition). If it concerns you too much, go to a doctor, okay?