Evil exercises? They can give you a headache (7)
I believe the answer is:
sinuses
'they can give you a headache' is the definition.
'evil exercises?' is the wordplay.
'evil' becomes 'sin' (I've seen this before).
'exercises?' becomes 'uses' (exercising is a kind of using).
'sin'+'uses'='SINUSES'
(Other definitions for sinuses that I've seen before include "holes in the head" , "Cavities in skull connecting with nostrils" , "Top spaces" , "Empty spaces" .)