Other SSRI/SNRIs may also alleviate the hot flashes, and Effexor tends to have more side effects than some of the others. Personally, I'd want to at least try something a little milder (like Prozac, which also helps with hot flashes) before jumping right to Effexor. If it doesn't help, you can always change. But if it does, you may be saving yourself a lot of hassles.
I haven't had many symptoms with menopause, but if I had to be treated with something, I'd definitely do an SSRI before doing HRT.