Have you considered the possibility of head lice?
It could be because the air is very arid in the winter. It could be a dermitits issue that may need to be treated.
I'd ask someone to take a look - if you can see things moving around quickly or specks (what appears to be normal dirt) aren't easily dislodged, it may be head lice which will cause you to be very itchy because of an allergic reaction to their saliva.
Here's some more information that may help you:
Good luck. I'd call your doctor if it persists and see if it's something that may need to be treated with more than just baby oil or a good conditioner of sorts.