I feel so much better when taking iron but don't want to increase vulnerability to infection. There are many potential causes that should be evaluated so that proper therapy can be administered.
Iron deficiency is one possibility that can be evaluated by a simple blood test.
However there may well be something else going on here. Your physician should be able to help you sort this out. Once your anemia is well characterized, treatment will become more obvious. If you are deficient in iron or certain minerals, supplementation is warranted. If you have decreased red cell production, treatment with Procrit may be helpful as this medication stimulates your system to produce additional new red blood cells.