I'm not sure if I have TMJ though I have a mouth guard and grind my teeth terribly when I am under a lot of stress. I wear my night guard during these times. I had to switch mouth guards to find one that worked, a specialist can do this for you.
I find that this contributes to my headaches but is not the primary cause. Food, environmental factors and stress all cause my headaches. If I wake up in the morning feeling like I've gone three rounds with Mike Tyson chances are that I was grinding my teeth all night and I wear it the next night.
Why doesn't your mouth guard work like you thought it would? What did you expect? Is it possible that more than your TMJ is triggering your headaches?