I am lactose intolerant, and it's something where you do need to cut it out entirely. Some people have a period of a few weeks when their symptoms flare up immediately after cutting out a food they don't tolerate. I can't remember whether I got that with dairy, but I got it going off gluten and going back onto gluten (and weirdly enough I'm actually fine being back on gluten once it settled down, but I think gluten is a strange one).
Dairy turns up as a minor ingredient in a lot of things, so there's a bit of a learning curve at first. Most vegetable margarines contain dairy, for instance. Pure marg is a good one to try, the supermarkets all stock it and there are several varieties (olive or soya are the ones I prefer). There are lots of plant milks about, although soya milk is by far the cheapest. Try different brands if you don't like the first one you try, they do vary, and try using them in different ways. I will use soya milk in most things, for instance, but I don't put it in soup which is to be frozen and reheated as it will curdle unattractively, and for some reason it tastes cardboardy in hot chocolate so I go for rice milk there.
Cheese substitutes are expensive and not that many people like them, although I hear they've improved. You can do a certain amount of cheating with nutritional yeast and other ingredients. I have the Uncheese Cookbook, and while I still haven't tried that many recipes from it, the tofu ricotta is quite good and I make the fake Parmesan all the time. But you pretty much have to learn to cook in a way that excludes cheese.
Look around vegan websites, they usually have lots of advice for new vegans which you can use.
By the way, you mentioned that your depression is setting in again. Do you have Seasonal Affective Disorder?
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