When I cry I get headaches that make me want to cry. They are definitely unilateral and throb. I have had these type a lot even when not crying?

What a pain! I would recommend that you call to make an appointment with a neurologist and speak with your general practitioner. While you are waiting for an appointment, document the exact location of the headache, what the pain feels like, how long it lasts, what makes the headache worse or what makes it better, and any other symptoms associated with the headache (nausea, vomiting, changes in vision).