There is exposed insulation at my workplace and now I have headaches, should I see a doctor?

Headaches. You should see a doctor who specializes in headache (neurologist). The neurologist can perform a wide array of tests including blood-work, imaging tests, and perform a work-up to rule out the cause of the headaches.
Good idea. To talk with your provider so you can sort out if this is related or something else. Think about what else might be new when your headaches started. Be a detective! Hope you feel better soon.