Hi Leo,
I take venlafaxine. I was on 75mg for 5 months or so and have been on 150mg for about 6 weeks. Honestly I found the first 2 weeks very hard, but my depression was very bad at that point. I was also very anxious about being back on meds having had a bad time with Prozac so a lot of my starting symptoms were not all to do with the tabs. For the first two weeks I had headaches, anxiety, trouble sleeping at night, and drowsy during the day. I was also dizzy, spaced out and had vision problems. My family and psych helped me stick it out and I am glad to say week three was so much better. I still had slightly blurry eyes and was tired during the day but it was so much easier. I need to point out I already have bad eyesight and I sleep a lot because of the depression anyway. By week 4 all I had was tiredness. I noticeed the meds start working a little after 3 days but it took a couple of months before I noticed a stable improvement. My mood was no where near as extreme as it was but I still felt very low so the doc upped my dose. I am now up and about doing things again and I have started to have good days.
Sorry if this is really long. I know this is only my experience and meds effect everyone in different ways. For me trying to stay distracted and not think about my symptoms was helpful in the first two weeks. I slept a lot and watched a lot of tv with my mum. The doc told me to eat a plain meal like cereal 2 prevent feeling sick and this helped a lot. Stevie is right that it can effect your blood pressure so I would get it checked when u go back to the docs, but mine did not seem too worried in the short term.
I hope this was useful. Good luck you will be fine. If you are worried there is no reason not to go back to the docs even for your own peace of mind. They get paid enough after all.