It depends what is causing it. If it is just an occasional itch, you can scratch it, or preferably press it hard with your knuckles, and it will usually go away.
But if it is a recurring itch in the same place, then you need to find out what is causing it. If you keep scratching it through your system you will eventually create a bald spot on the system. But more importantly, the itch could be a sign that all is not well with your scalp. It could simply be a hygiene problem - if you are leaving long gaps between taking your unit off, your scalp may not like the build-up of oils, salt etc. Try taking the unit off more frequently, and/or having the occasional bald day when you just wear a cap, or the occasional night when you sleep bald (if your donestic arrangements permit that).
If you see any signs of irritation when you take the piece off, it may be that you are having a low level allergic reaction to the adhesive. It's not uncommon, but you need to take action before it becomes a bigger problem. Ghostbond in particular doesn't seem to agree with everyone. Try a different adhesive, and/or use a scalp protector, and usually the problem will disappear.
Noah