This is a serious problem so be careful and drive with your window open unitl it is solved. I think you are on the right track with the CO from the exhaust. I've had coolant leaks that you definately can smell and I don't recall getting a headache. The detector is a good first step but it may not be sensitive enough to trigger the alarm.

Is there any way to have someone (midas, carx, etc..) pressurize the exhaust system all the way through the exhaust manifold and check for leaks. I would think that this has been done before.

If the exhaust is OK maybe there is a dead cat in your air intake.