Effexor is a hell drug. SSRI's are much better for anxiety for the majority of people, but everyone is different. How many SSRI's have you tried? I'd be wanting to try at least a dozen before turning to a drug like effexor. And once you're on effexor hope like hell that it works because coming off it is truly awful.

For my my social anxiety has been much better treated with therapy. The meds could take the edge off but to really change my social anxiety - therapy was the most beneficial thing. Took a few years but it was worth it.

My OCD is also being addressed in therapy, I havent found a single med to help with intrusive thoughts much.