I woke up with a horrible headache. I have taken the potassium iodine for 3 days. Could that be the reason? Should I stop taking the iodine?

Yes, a headache is a common reaction. You can either stop taking the potassium iodide for now until you receive your potassium gluconate. Or you can drop down to lower dosage of the iodide. You can do that by putting one drop of the iodide in a cup of distilled water, and then drinking half of the water each day. And then stay at that low dose for a while and gradually increase over time.