Ooooh you use a wig cap. That could be the problem too. I never had trouble with headaches wearing a wig before I started using a wig cap. It's really hard to avoid using one and I haven't been able to find one that isn't too tight after a while of wearing it yet. >.<
any wig cap should be broken in a bit before you wear it for a full day XD
Also, you should NEVER (if you have remotely longer than very short hair) go without a wig cap, in my opinion. I say this becasue putting your hair up properly under a wig cap will secure/anchor the wig to your head, so it's not constantly slipping off. Also, it aids in hiding your real hair under the wig. remember, too, that a wig should always come down a bit further than your natural hairline.
I swear by wig caps >.>
As for a wig squeexing your head, it means you have a bigger head >.< Really, just make sure you always get an adjustable wig. beyond that, the only other otion is to a)break in the wig and wig cap b)sew more wig