If a patient with myeloma develops a symptomatic DVT or PE while on an immunomodulatory drug such as lenalidomide, would you stop the IMiD?   

My practice is to hold the offending IMID for the rest of the cycle and at least 7-10 days. Thereafter if patient is anticoagulated fully, I continue the same agent.

In general I prefer using enoxaparin (most convenient LMWH in US) or apixaban (least renally dependent Xa inhibitor) in myeloma patients for IMiD-induced VTEs.  I don't generally wait 7-10 days as the anticoagulant effect is rapid for these agents.   While compliance is always challenging...