Definitely get it checked out if the headache comes with dizziness, disorientation (not knowing where you are) ringing in ears, inability to articulate vocally, and coordination loss. Though we can forgive you if you feel warm and loose all over and cannot get up straight away, been there, do that many times.
But combination of the above symptoms can be an issue.
Subconsciously, you could also be holding your breath during a climax. DON'T DO THAT! Breathe, even if it is a "weighlifter's grunt". You will be surprised how many folk HOLD their breath as they near and experience a climax. ;>