Has anyone done acupuncture to relieve headaches? Was it successful? How long did it take to improve your headaches, and how long did it last?

I had my second treatment last night, and honestly, I just don't know if it is helping at all. My headaches have gotten worse and more frequent since being pregnant-- though possibly it only seems that way since I'm not taking anything for them? They are definitely triggered by changes in weather, and since it went from dry and freezing to rain and 50 degrees practically overnight, I'm not surprised my head feels like it's shrinking into my brain, but still.

Any experiences with acupuncture working? Any suggestions for what would make this headache better now, at work, when I still have a bunch of stuff to do on the computer before I can go home and lay down in the dark? Anyone want to pick up groceries for me, since I have no food and don't want to stop today??