I stopped caffiene and diet soda cold turkey prior to my first child and had headaches ranging from mild to pretty bad for about a week. If you've been taking medications for them you can also have 'rebound' headaches after you stop medication, for my DH it happens alot with Aleve.
If you're slowly weaning off them I'd think you'd continue to have headaches as your body keeps adjusting but if you quit completely I'd think you'd have them done and over with by now - obviously not a medical opinion, just a guess