@burcidi-- I'm not a doctor but I think that they do help with headaches because they constrict blood vessels. This is especially true if the headache is caused by congestion of the sinuses or nasal passages because these can cause headaches as well.
But if you want to take antihistamine decongestants for a regular headache (without congestion), I don't think that's a very good idea. It may be okay to do just once, but if you use it on a regular basis, you may become reliant on the medication.
Decongestants are habit forming, if you use it too often, you'll end up having to take it everyday. It's a kind of a vicious cycle where the more decongestants you take, the more chronic your symptoms become.