You would say "tengo dolor (de cabeza)", a more common informal way would be "me duele (la cabeza)". j'ai mal à la tête~

intransitive verb DOLER 1. to hurt ¿te duele? -> does it hurt? me duele la pierna -> my leg hurts me duele la garganta -> I have a sore throat also: dolerse de o por algo -> to complain about something; (quejarse) to be sorry about something Dolerse de -> to grieve Lo sufre todo sin dolerse -> he puts up with everything without complaining

Lo correcto: "tengo dolor o siento dolor"