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I've done some work using a blend of "talk therapy" methods and had very good results in the relief of cluster headaches.

Essentially, what seems to happen is that there is some event that lodges in the mind and the tension builds up and creates the headache. Many clusters occur at regular intervals and this often provides a clue as to their origin. I am a big believer in tackling the cause and not just the symptom and there are more details here http://www.paradoxofreality.com/news_cluster_headaches.html

Regarding oxygen, I have no experience in its use for migraines. However, I have seen temporary benefits for clusters provided it's taken early enough before the full attack kicks in. In the UK, it can be a nightmare to get oxygen prescriptions for clusters and I've had one client who told me he was in a full cluster, in desperate pain but had to plead with a nurse for a full hour before she'd authorise oxygen.

Reeta - http://www.paradoxofreality.com