I'm also have been on Venlafaxine for the last 4-5 months. Started with 25-50mg, at first it gave me strong headaches and made my body really hot, or rather, made me sweat a lot and put the AC all the time; the later haven't changed, but after a month or two, I had no more headaches.
Then I was upped to 75-100mg, and recently to 125-150mg per day. I also take 300mg Gabapentin/150mg Pregabalin, 20mg Diazepam, and 2,5mg Lorazepam per day because I'm prone to seizures.
Venlafaxine helped me a lot, I also have problem sleeping, but the solution is take the medication in the morning and some downer at night, do some kind of exercise during the day, and eat well too.
I ran out of the med twice and the WD are nasty, but not as bad as everyone says, you can still do things, although you'll feel like shit, so try to take the med regularly. I take the IM version so I have to split the dose between the morning and the afternoon.
Finally, Venlafaxine helped me from having strong suicidal thoughts and also helped somewhat with my general anxiety and neuropathic pain.