I have given myself a nice headache a few times, occasional sore throat--and I definitely vape more than I smoked.
Inhaling any chemicals into your lungs isn't 'Healthy' -- cleaning chemicals, smog, dust .....
For me personally--I feel so much better overall since I started vaping vs smoking. The best option is always to quit altogether, but since for me, thats not going to happen, I'll take my chances with vaping.
Its good to be a bit paranoid--Like snubber said--if the symptoms continue, might be a good idea to get checked out.
and drink more water.....