Keep cool. Your body is a self-cooling machine and it expends a lot of energy trying to regulate its temperature. When you exercise (even in an air-conditioned studio), your body starts to heat up and to expend energy to regulate its internal temperature back down. When you exercise outdoors on a warm day, the ambient heat intensifies this process. Heat can place a major strain on your body, taking an ordinary workout to a high-intensity workout. Bottom line: if you are prone to exercise headaches, exercise in a cool environment.