Vitamin D shots? Should I try gluten free?

I have been having blood issues for about 2 years. I've been very anemic, though that has been helped since I had a hysterectomy this past summer. My hemoglobin is now just above the low end of normal range. However, I have really been struggling with vitamin D. It was 7 when it was first tested in late 2008. I was having a lot of symptoms. I have done various things to raise it over the last 2 years, including prescription mega-doses this past spring. I had gotten it up to 25 over the summer. However, I just had it checked again this week, and it is back down to 9. I'm having bone pain again, too. My doc wants me to come talk to her about vitamin D shots. First question- Has anyone here had those? What are they like?

Now, I was tested with a blood test for celiac this spring, and it came back negative. However, I am wondering if it would be beneficial to try going gluten free to see if it helps. I have some other autoimmune symptoms, some digestive symptoms, and I have Raynaud's and have had a high positive ANA test. I am pretty tired of the whole low iron and D thing, so I thought gluten free might be worth a try.

Any thoughts? I am really tired of all this. Thanks for any advice.