Hi fiesti, Welcome to Healing Well forum. This is a great place to come for support and or any questions.
I also take Effexor Xr for depression. I was started at 75mg and my psychiatrist has steadily bumped it up to 225mg in hopes that it will help keep my blood pressure up. I can relate to the headaches though but they seem to come if I skip or am late taking a dose.
It will probably take a couple of weeks for the Effexor to get to its therapeutic level in your body. As this is common with most antidepressants. Hang in there....