What do you think the headache causes? . if you're asking about the risks having headaches can lead to. But the correct way is, "what do you think causes the headaches?" If you are asking what led the person to get headaches.

-- What do you think causes the headache? -- Thinking about money mainly.

"What do you think causes the headaches?" is correct, but your version: "What causes the headaches do you think?" is also fine with "do you think" being added to the end of the sentence as an afterthought.