Everyone is different. I did my ice diving specialty course in a 7mm, and had bottom times comparable with everyone elses. If you are going deep, or for a long time, dry is much better, but at shallow depths a wetsuit (properly fitting) can be just about as warm. The biggest advantage I find with a dry suit in cold water it the dry gloves.
As for the headache, in my experience it doesn't last....its kinda like an ice cream headache, and goes away about as fast. I still get em diving dry, because you still just wear a neoprene hood.
Wetvet