While I believe you DO need to get off the Effexor during your pregnancy, I think your OB/GYN was in error telling you stop this medication abruptly.
I personally would recommend that you see another doctor immediately. You could also speak with your local pharmacist, who is a Doctor of Pharmacology and tell him/her your situation. He/she cannot change your dosage, but they CAN tell you if what your original OB advised was the best/only route for you to take. They do know the risks involved with these types of meds during pregnancy and are fully aware of withdrawl symptoms. My humble advice, pick up the phone now and talk to a pharmacist and find a new OB.
Please let us know how you are.