I think I have a solution for you. Please go to this link:
http://community.klipsch.com/blogs/markb/archive/2009/07/09/getting-the-most-out-of-s4-headphones.aspx
Chances are that your ear is squeezing the body of the headphone. Wearing the wire over the ear may take care of this. Also make sure that the ear tip is rotated the correct direction, (tall side up) and that you are using the correct eartip. If you are still having problems you can send me a close up picture of your ear with and without the headphone in place. We should be able to figure out what is going on.
You should not have headaches unless you are listening too loud.