Hi OP. I'm sorry you're going through this, it's so, so hard.
I had 5 years of fertility treatment, both IUI and IVF, as a healthy mid-30's woman (issue was male factor).
What I will say about IUI is as others have said above, you have to see it more as a block of treatment and it often takes several tries before it will work. I did it 9 times with donor sperm (so eliminated the male factor issue - all totally healthy - no PCOS or anything), and it never worked for me.
It's a bit like throwing a dart with a blindfold on - there's not a very high chance each time that you are going to hit the bullseye, even if you're healthy. I think it's something like 10-15% chance each time, even in a healthy woman with healthy sperm. That means it could take 9 or 10 times to work even if there's nothing wrong.
I think you need to put a cap on how long you are willing to do IUI before you move to IVF - at least that way, there is an end in sight.
The very first time I did IVF with donor sperm, it worked for me.
I hope that IUI works for you but if it doesn't, I would just say, don't delay doing IVF.