I took Paxil that way in the beginning, not because it was causing me to have headaches, but because Paxil has a stimulant effect on me and 20 mgs all at once was a little uncomfortable. I split it up in two doses for several months until I adjusted to it and then began taking the full 20 mg dose in the morning, simply because it is easier to remeraber to take it once rather than twice. You will probably find that after a few months that the full dose won't cause a headache.
Many Paxil users find the drug to be very sedating, unfortunately it has quite the opposite effect on me. The stimulant effect is not as strong anymore, or rather I've adjusted to it and it does seem to be working to suppress my anxiety.