Aw, I'm so sorry that you're having such a rough time... the symptoms you're feeling aren't unusual though - they can be your body detoxing from sugar, bad fats, toxins in meat (hormones etc), casein in dairy and/or a combination of all those things. The gradual approach is definitely easier, but if you can manage to stick to it your body will be healthier faster.
If you want to stick to your new healthy diet 100%, I'd say try to find ways to indulge your cravings in healthy ways. As Kari mentioned, there are lots of vegan ice creams out there - but an even healthier way is to freeze some bananas (peel them first) and blend them up with frozen berries, or mango, or whatever you like. You can throw a spoonful of cocoa powder in there for chocolate ice cream. Honestly, try it - you'll be surprised how sweet and delicious it is! You can do the same thing with an unfrozen ripe banana and a spoonful of cocoa powder for a rich chocolate pudding.
There are ways to make your own cookies, brownies, cakes, etc that are healthy and vegan. And they're not as hard to make as you might think! Do a google search for 'healthy vegan brownies', and you should get a bunch of results. I once made cookies in a hostel in Montenegro in 10 minutes with minimal ingredients - you can check them out here http://www.healthyveganrecipes.net/v...atmeal-cookies
You can make your own veggie burgers too, which are a lot healthier and cheaper than the ones in the store. Although store-bought veggie burgers are just fine if you don't have time!
Try making a sauce with pureed white beans and nutritional yeast - instant cheesy-tasting sauce
Nutritional yeast was one of the biggest flavor revelations for me on a vegan diet. It's yellow flaky stuff, and usually in the bulk section.
And beyond having healthy options for your usual treats, you can work on the emotional side by figuring out some things other than food that you can turn to when you're feeling down or stressed or whatever. Something active - like a walk or doing yoga - is fantastic, but some other ideas would be to give yourself a spa day or watch a movie or a special TV show, or going out for tea with friends.
Good luck with everything - be proud of yourself for having the courage to make this huge shift! So many people don't bother because they think it's too hard, but you're standing up for yourself and working to create a better life. That is something so important, and even though you're having trouble you should feel good that you've made the decision. It will get easier and easier as you go