Hi Vanessa, i'm on Xenical and was feeling the exact same as you, I didn't go to the bathroom for days on end, had no side effects and didn't lose a single pound. Only when I started taking a multi-vit and extra fibre every day did the tablets start to work and I lost 3lbs in a week.
You should not get any side effects if you stick to a low calorie diet, the fat will deposit in normal poos, I now go twice a day regular (sorry to be so graphic!). hehe

I also try to do 40 mins of my exercise each day, I did intend on an hour every day but 40 mins is hard enough as it is!

Hope this helps