I've never had that problem. Quite the opposite, actually: since I started working out regularly and eating right, my cramps have virtually disappeared.
I still get them, but they are so minor as to just be an annoyance, and I don't even need to take anything for the pain anymore.
To illustrate how big a deal that is for me: I used to get menstrual cramps so severe that I could oftentimes barely function. As I've posted before, I would literally have to take 4
ibuprofen every few hours just so I could get through the day. Otherwise, I would be reduced to a miserable, quivering mess curled into a fetal position all day.
That being said, I'm not sure why exercising would make your cramps come on so fiercly. Maybe you should schedule an appointment with your ob/gyn just to make sure there are no problems with your IUD.