Yes, donating blood does, indirectly, lower your iron stores.
Because you need iron to make hemoglobin contained in your red blood cells, and because your red blood cells are reproduced after donating, your iron levels will be depleted through the creation of new hemoglobin. Without dietary supplemenation (by way of iron tablets or other dietary sources), your iron stores are diminished.
Individuals who lose blood chronically (e.g. from cancer or a stomach ulcer) usually end up with iron deficiency anemia. This is because iron--normally recycled when a red blood cell dies--escapes with loss of blood.
As far as your iron supplements giving you headaches, consider trying low doses of ferrous gluconate. Take them with vitamin C for better absorption.
Best of luck to you.
No, donating blood does not affect levels. Each pint of blood has an equal amount of iron in it, so removing some blood just removes your overall count, not your healthy %. Eating more meat will help you get some iron, and eating cereal with iron fortified flakes helps too.