Jeff Astle, West Brom legend, died recently as a result of brain problems; it was attributed, rightly or wrongly, to him heading so many balls. But balls were so much tougher and harder on the head in those days.
If you're hurting from heading the ball, maybe your technique's wrong. Discuss your problem with a coach and they may help you practice your heading technique. And remember that sometimes a header may need just a glance, not the full impact of your forehead.
The pros head footballs for a living and they don't complain of headaches or have mental problems when they retire. Don't think long-term damage will be too severe with footballs as they are now. I will say this though; you must use the front of your forehead. Not anything else, not the side, not the top.
Happy heading!