I have used the injectables and they were much more effective at stimulating egg production than just clomid.
The IUI is especially important if you have any cervical issues including a "hostile (chemical) environment" - don't you just love their terms, an abnormal anatomy, or if the sperm doesn't swim well.
If costs are prohibitive, and those concerns aren't your diagnosis, then intercourse is worth a try.
Just something to think about though, the injectable medications per cycle (thousands) cost me much more than the IUI procedure (less than $500), so you might want to consider the best possible long-term cost-effective route with a fertility specialist's advice.
(In case you are wondering, I did 3 cycles with Clomid and IUI - nothing, 1 with injectables and IUI - ectopic pregnancy, and then 1 IVF which resulted in my baby girl!)
Good luck! Amy