It you are having a monitored cycle then could you ask for progesterone as well - I would have thought that it would do no harm provided it was definitely being given post ovulation. Clomid is often just used to "regulate" the cycle, not just to induce ovulation.
As clomid has such a high success rate by itself it may be that your consultant wants to keep things simple. I know mine only introduced the Cyclogest (progesterone) once I was using injections to stimulate ovulation.
Doubt they will give you progesterone unless you're being monitored though as you need to take it post ovulation.
And whilst you may be sick of sex, don't give up on it yet. Scientific studies have proven that it aids conception :0