How long do the side effects of effexor last?

I have general anxiety disorder and started me on lexapro over a year ago. I had trouble climaxing during sex so she switched me to celexa then prozac. All SSRI's give me the same side effects so she put me on wellbutrin which I've been on for a while because I was tired of switching but it only helped a little. My new doctor added effexor w/ the wellbutrin. I'm having the sexual side effect, nausea, and headaches after 2-3 weeks from starting it. She said I didn't give it long enough. So, how long will it take for these effects to go away or should I ask for something else? I do like the med a lot for anxiety but hate the side effects. I just feel like I'm running out of options.