lol...it sure doesn't hurt to try!
Ok...Seriously now. It does help alleviate it in the way that it relaxes your nerves. Most headaches are caused by stress. If you go into a room and lay down with the lights either out or dimmed down, it tends to relieve the headaches but sometimes it doesn't. That is because you are focusing on that headache so much that it is doing nothing to ease up. But, when you are having sex, making love, whatever you want to call it, your body is in a relaxed state, thus helping the headache to minimize itself.
I suffer from headaches all the time, and, I found out that it works.