Doesn't do me much good either, primarily because I find myself tensing during sex (I mean really, who doesn't at points?) and the end result is that I have exacerbated things.
My migraines are usually the ones where you start hearing people like they're down a well, and the misty fog starts at the periphery of your vision and closes in until you're almost unable to see. The head throbs and aches, and will usually do so until I throw up at least once or twice. Then, for whatever reason, it feels a bit better immediately afterward.
I used to use Excedrin Migraine and cold packs until they took the Excedrin off the shelves. Found out later that CVS pharmacy's version of Excedrin Migraine actually has the exact same stuff and plan on trying it next time I have one.