If you are having an ongoing headache and
especially if you are more depressed, place an urgent call/message to your doctor immediately! Some people get worse on a particular psych med, and for you this may be one. Don't wind up being a suicide caused by a psych med. Plus I don't want to think about what the headache could reflect, because I'm not a doctor, but it can't be good. Your headache is your body saying something is out of whack.
Medications can all have life threatening side effects for a very few people... anything from blood disorders to total organ failure (yeah, just looking up what I'm taking). Your headache could mean something is going wrong as a result of your medicine.
As for coming off of it (in case your doctor doesn't call today) look it up on drugs.com; look up
Cymbalta and find the section on Dosing and Administration (which means to doctors: how to give the drug). It will tell you how to come off it. Some drugs must be titrated (come off of little by little) to prevent seizures or other nasty surprises. Others you can stop suddenly, but you must be sure this is one - don't just suddenly stop any psych med without doctor input. Most often for those of us with mood disorders, your doctor will give you a different antidepressant to try while gradually taking you off of the drug that isn't working, to prevent a mood swing into vicious depression, which can often happen when you stop a psych medication unless you have another one kicking in to prevent the depressive episode.