Iron Deficiency: Side Effects of Iron Supplements and Iron Transfusion

I thought that I had posted about this before but I guess I didn't. I had blood work done about a month ago. It took my Doctor 3 weeks to get back to me with the results. When she finally got back to me she informed me that my iron levels were almost non-existent. She was supposed to call in a prescription for me but weeks went by and she never did finally the nurse called and said I can get it over the counter. So I had my husband pick me up some by Natures Made it is 325)mg/65mg I read up on it and it says it can take up to a month to feel better. However, every morning when I take it it makes me sleepy and gives me a headache I am in my third week of taking it. My question is, is this normal and if so how long is this going to last and how until I start to feel better. Also someone recommended an iron transfusion. My question is is it worth it and does it work.