Sometimes, I will get a sharp pain just to the right of the place on my head where a bald spot would normally be. Should I be worried?

No worries. I don't think you have anything to worry about. There are nerve endings underneath the skin in your entire body. Sometimes, the nerve endings can get excited and sharp pain could result. It is unlikely you have a serious condition but if it becomes really bothersome or more severe I think it would be good to be checked out by a local neurologist.