You shouldnt have any problems switching between the two drugs. They're relatively fast acting and they dont "build up" in your system so you can actually stop taking one and start the other pretty quick if need be. (Im not a Dr. so be sure you have their permission.) Also, they are also in the same drug class and work relatively the same way but one works for some and the other works for others. If neither gives you any relief, let your doctor know and they'll move you onto something stronger.
I have not taken Vioxx but have taken others in the NSAID family, Cebrex works for me while Bextra made me rash. I had no adverse reaction taking the Celebrex. I have taken Aleeve, it did not do much for me. My best success was with the Celebrex. Good Luck.