Hey Sonya, what a bummer. :-(
AF is always an unwelcome visitor in this thread.
I'm with Janeo on giving this process a good chance for success. You have to look at it as if you were tryiing naturally. That should take 6-12 goes in a normal situation, so in my opinion, unless than six IUI rounds is not giving the process a fair go. It took five for me, but I was willing to go to 12 if need be.
That being said, Diamond did about four goes of IUI and got jack of it. She went to IVF and scored a BFP on the first transfer. While this was a wonderful result, it's important to remember that in IVF a BFP on the first go is RARE.
I like IUI because it's less invasive and low tech. Be prepared for more tests, more invasive procedures (and more money) etc when you make the switch.
Very VERY good like whichever way you go.
:-)
OP.