As for dairy, you are physically addicted to it and with any addiction
you have to work through it. My husband used to be a smoker and
anytime someone asks him how he's never felt compelled to smoke even a
little but ever again he says "quitting was so awful I dont want to
ever go through that again!" I think that's a good attitude... there
may be a few days where you feel icky because you're in withdrawal,
but push forward to that freedom of addiction.
Drinking plenty of water, exercise and rest will help combat it, too
-- but if the headaches get really bad, go for some medicine if you
need to. I had migraines before I went vegan and I used to rub a mint-
chap stick on my temples and under my nose. Mint really helps with
headaches.
Stay strong, you can do it!