I have found for most people, when they drive into that kind of altitude the gradual climb helps the adjustment, while flying in makes it much more difficult. I never had a problem either way. A hit of pure oxygen is suppose to help.

Every time the ex and I went to Denver the first thing his mother did was hand us a bottle of water.

I did fine in Denver. Then we drove up to Golden and I couldn’t walk but a few feet at a time.
I agree about the oxygen: headache is a sign your levels are too low. At least get it checked.