I've had similar problems the past four years and my primary doctor was about as helpful as yours. My feet would burn at night or when i would walk\run for too long. Being a biologist myself I scoured the research literature and eventually found the following: Iron is dependent on other vitamins. You will not absorb it properly without sufficient zinc, which you will not absorb without vitamins A and D. An increase in zinc causes an increase in zinc protoporphyrin which is a precursor to heme synthesis, because you synthesize more heme you now absorb more iron. I'd recommend getting your vit D through UV light as you likely have poor fat absorption (floating stool, Steatorrhea) with this condition. As your vit A rises you need some vit E too to keep your cholesterol in the normal range. And as your vitamin D goes up you need some magnesium to ward off headaches from the extra calcium. I'd recommend liver for your vit A as you will need not just zinc and vit e to prevent toxicity as vit a rises but copper b12 and selenium as well. This greatly improves insomnia, depression, serotonin\dopamine production.

Keeping it simple though.
Vit A Vit D -> Zinc -> Iron
vit A toxicity rises cholesterol
lower vit A toxicity to lower cholesterol (vit e, vit k, copper, b12, selenium)

Without vit A and D...you get massive, chronic vitamin deficiencies across the board.

Also...

[Effect of treatment with a food supplement (containing: selected sea fish cartilage, vitamin C, vitamin E, folic acid, zinc, copper) in women with iron deficiency: double blind, randomized, placebo-controlled trial]

http://www.ncbi.nlm.nih.gov/pubmed/1714641 9

This study has shown that, in patients with iron deficiency, the use of a food supplement, consisting of nutrients that improve the bioavailability of Fe, leads to a significant improvement in blood iron and blood ferritin levels.

have your doctor check you for beta thalassemia minor!!! you match the symptoms!

GI problems are typical but some people have no GI problems but many other odd symptoms that don't seem to make sense or get better with common treatments. My entire right leg, every bone from my hip down to my toes hurts so bad all the time. My iron is constantly low even though I take 3 times the recommended daily dose and eat high iron veggies. I've been on the gluten free diet for over 4 years now and the pains haven't gone away and now I'm developing serious chest pains and other symptoms. The GI doc was talking about a resistant form of celiac in which you don't get better even following a strict diet. He discussed that possibility with me just before my last biopsy and it appears a highly probability at this point. It's rare and most people with celiac see great improvements almost immediately after going on the diet.
Another thing to check out is pancreatic function. If your pancreas isn't working properly then your not going to absorb nutrients properly. You can try taking B12 with your iron as that helps some people absorb it better, as well as vitamin C.
Valerin root helps ease my pain some. I have had a lot more relief exploring natural medicines, however, you have to use caution and consult with qualified practicioners because randomly taking herbs and/or OTC medications can be dangerous.
I would insist upon a CT scan to see if there is anything going on that can't be seen with a bone scan or xrays. Make sure they scan your whole torso section because that's where most problems originate.
If you can afford it and are comfortable with the idea, I would recommend looking into acupuncture, or any other eastern energy medicine modality. If you don't like needles, qi gong can be just as effective. Remember to tell all your doctors/practicioners about all medications and herbs you take.
Another good thing to do is keep a journal of what you eat, how you feel, physically and emotionally, and how well you sleep each night. Keep a pain scale too, with 1 being no pain and 10 the worst pain ever. This will help you become aware of your body and what influences it most. A holistic Health consultant can help you figure out what's going on taking into consideration your mind and soul as well as your body, and help you to work out a plan to improve your health. Hypnosis can also be helpful in coping with pain and discomfort. Try to get a confirmed diagnosis from a qualified doctor (if possible) as it will be easier to work with a consultant or therapist and customize a treatment plan. I know that's easier said than done and I put myself on a gluten free diet 4 years before I got a confirmed diagnosis. Nobody would listen to me and I got to the point I couldn't eat and I was broke out in rashes that just kept getting worse. That has improved and I can eat some. I do think if doctors would have listened to me and figured it out when I was an infant, I wouldn't be as sick as I am now! Sometimes you have to fire your doctor and take matters into your own hands! Just be smart about it!
Good luck!