I would move on to IVF, if I were you. There could be other factors that you aren't even aware of, which could prevent pregnancy. For me, we couldn't do IUI. But we found out when we did our IVF that I have thick eggshells. They had to do AH on all of our embryos. Without that, they wouldn't have been able to develop, let alone implant in my uterus.
Yes, IVF is scary - until you actually go through it. Then, after each step, it's like "wow, I can't believe I was worried about that." And as for multiples, you don't have to transfer in a whole bunch at a time. Your doctor will guide you on what will give you the best chance of getting a baby. But (depending on age and health), they often suggest 1-2 embryos.
Best of luck to you, no matter what you decide.