You're a woman and you're eating at a calorie deficit. There is no way on this green Earth that you are going to bulk up.
You also won't put on weight unless you eat more than you burn. Protein shakes naturally must be factored into your overall calorie intake.
Do you have to consume protein shakes? Absolutely not—if you are getting enough protein to aid in muscle recovery. The key is to make sure you get the protein that you need throughout the day.
I consume protein shakes throughout the week, but mostly I rely on solid food because I like to eat my calories. Sometimes I eat after a workout and sometimes I wait until the next morning. You don't absolutely have to eat directly after a workout.
As far as soreness goes, are you giving your muscles time to recover from strength training? If you are lifting every day, you should go to every other day. Your body needs time to recover. It might sound like lifting every day would be better for you than lifting every other day, but it simply isn't. If you don't let your body recover, you are doing your health and goals a disservice.