I never have headaches but recently just as I start to work out with weights I will get the terrible pain to the right side of m

My blood pressure is normal as of 2 months ago and the rest of my test prove normal. When I get this pain at the gym it usually goes away however I could not get rid of it last night with 2 Aleve so I went to bed and woke up with it. Should I go see my doctor?

Thanks