Sampson is a servant of the Capulet family. He threatens to cut off the heads of the Montague maidens in the opening scene when he and Gregory are talking about the clash with the Montagues. He means just what he says; it is part of a general brag and threat against the Montague. He claims he'll fight the men and then kill or rape the women. Since the violent side of the feud has been limited to men fighting, this is a mark of how far the feud has gone.
It's a pun. The heads of the maidens is simply beheading them. However, their "maiden-heads" is their virginity.