I've had lucid dreams where it feels they'll turn into nightmares. Usually I try and leave for someplace else: if I'm getting that feeling in my home, I'll go to the mall or someplace. I also try my best to focus on something else, though any regular LDer probably knows that isn't always easy. Your strategy of doing a reality check every time you awaken is a good one-once you build up the habit, you'll recover many false awakenings into LDs-trust me, there is nothing more satisfying! I find its easier to stay in a dream if I'm always doing something, also. Where you actively engaged in a lively conversation, or just milling around? Bradysdreaming is right, by the way. You probably won't get a "headache" again.