Brief Answer:
yes you should preferably

Detailed Answer:
Hello

My name is Dr Muhammad Ali Rauf & i will look into your problem.

I have gone through your query and would try to help you in the best possible way. yes its better to start medicine at the initial stages if you are not taking so far. You can consult a neurologist for prescription.
I usually start my patients with sumatriptan at an initial dose of 25 mg for pain relief. In addition, preventive medication can also be started to reduce the frequency(if headache occurs often). As it is a prescription drug so you need to visit hospital to get it. Migraine requires both medical as well as general care. Both are equally important to be taken care off. Following are general measures that you should take care:

General Measures:

1. Diet:
Following food aggravates symptoms:
> Alcohol
> Caffeine overuse
> Chocolates
> Citrus Food & banana
> Dairy cheese
> Vinegar

2. Stress:
Stress is a potent stimulator of headache. If you have past history of stress related issues then you need to visit hospital to get medication for it as they are prescription only.

3. Exercise:
Try to have a walk in the evening for 30-45 mins. Change in environment will help to reduce stress & improve health. As you already are doing so it is good thing BUT you should NOT do stressful workout else it might exaggerate attack.

4. Sleep:
You need to manage adequate sleep of at least 5-7 hrs/day.

5. Light:
Flashing lights like in clubs also stimulates the headache so you need to avoid them.

6. Keep a Headache Diary:
It can help you keeping the record of triggers. Write down everything you eat and drink, your exercise routine and schedule, the weather, strong feelings and emotions you may be having, your medications and their effects, and times and severity of your headaches. This can help you see a pattern in your migraine occurrences, and will make avoiding one easier.

7. Weather may also effect:
Humidity and hot temperatures can stimulate headaches, as can rainy days, so it’s important to be aware of your environment.

8. Hormonal Changes:
Particularly important for females as it may aggravate the headache, specially oral contraceptive pills.

Hope I have answered your query. If you have any further questions I will be happy to help if not then don't forget to close the discussion and rate it.
Wishing you good health !!

---