Congratulations!
What XRay procedure that you did, that is so painful? As far as I know, Xray is literally painless, unless you are going for diagnosis xrays like angiography.
Before u go for IUI, please go visit a fertility gynae, to diagnose the cause of sub-fertility. We skipped IUI and went straight to IVF as we know that for our condition (bilateral blocked tubes), there is no way that IUI would help. It helps if you know what is the problem before deciding what you'd need to do next.
Oh yea, just a FYI, no pain compares to childbirth.... think you have heard of it a billion times before

My wife was 37 we decide for IVF. We been trying for 4+years and done research for 2+ years before deciding on IVF. I had found a lot of reasoning that IVF is suitable for us because my wife got cysts and my little swimmer is normal "means not very kuat in other words  " and we're getting OLD. So i did more research and most article saying should not have problem for pregnancy however some article said it "might" have chances contribute to fertility problems. *I found this article AFTER we're in the IVF process, big gamble huh?*

For your question, "Is it normal to go for IUI first and if it is not successful only go for IVF?". I can't give any advice on this but your age  "31", I suggest u to do more research and takes more time to digest all the info. I bet u will come out with better decision, I can't guarantee this will helps but at least this will reduce the mistakes of going to the wrong path. From the body checkup part and into the process will takes u A LOT of $, effort, time, pain and HOPE is the important things.

And this question, "I just did the xray scan, it is so painful I almost fainted. Is IVF painful too?". I really don't know how painful it is, the only thing I participate is everyday I need to use needle to poke my wife belly to inject the medication. If u got time can read my facebook page in my previous reply on top but is in chinese. My wife logging the journey from the day we "think" on IVF until today with my babygirl picture.
Thank you 

Ok, now I understand. The procedure you went through is called HSG, my wife went through the same procedure as well, and yes it was painful, more so coz her tubes were blocked.
If you do not have issues with tubes, and have good sperm in your partner then maybe can give Clomid a try. It is an ovulation medicine, triggering the maturity of the eggs and releasing the eggs from your body. It has to be timed correctly (the doctor will prescribe the time), and make sure copulation (aka sex) happens at the prescribed time as well. If all goes well, then viola! you are peggy...
IUI would be the next logical step if Clomid fails to give results, but do give Clomid a few tries first before deciding to go IUI. You are 31 so still have some time to think and try... 
IVF should only be your last option, and should only be considered if you know the diagnosis of the sub-fertility issue, and not before... as you know, IVF is very stressful to the lady and the family (not to mention financials).

Good luck!