Is a migraine every few months something to worry about?

Yes: Migraines can become worse. It will be prudent to determine the types of headaches you experience and how to get treated. See a neurologist for an evaluation.

Depends: Pain is a warning sign. Migraines cause pain. So it depends on how much pain makes you heed the warning. You can be proactive and start logging your migraines, including info like time of day, foods eaten, meds taken, recent activities, etc etc. More info is better. If you can find a common thread, you may be able to eliminate or minimize them before they worsen by eliminating that thread.