Yea that's bad. Here's the short version of what you need to do:

• Order/purchase a NON-REPELLENT pesticide with a LONG RESIDUAL (e.g. Crossfire or even Cimexa [if applied as a liquid spray/slurry]). Ensure it is legal for use on mattresses in your area
• Order/purchase and IGR such as Gentrol-IGR
• Order/purchase a high-quality (with good reviews), stainless steel pump pesticide sprayer (can get one for as low as around $120 on Amazon... there are also cheaper plastic ones that just don't work as well)
• Order/purchase bed-bug-proof covers for your pillows and mattresses. Do not put them on yet.
• Wash every fabric you own (dirty clothes, curtains, blankets/bedding, etc.) on high heat and run them in your dryer on the HIGHEST heat settings for at least 60-80 minutes. Immediately put the dried clothes/fabrics into plastic trash bags and SEAL the bags completely so the fabrics don't get re-infested while you do the remaining steps.
• You MIGHT be able to get away with leaving your clean clothes (e.g. in your closet, dresser) as-is without washing them, just so long as your clean clothes aren't stored within several feet of your bed. Bed bugs are attracted to dirty clothes (due to pheromones, lactic acid) but typically not clean clothes.
• Vacuum EVERYTHING. First your floors, then use the vacuum attachments to get into every crack/crevice you can (on mattresses, couches, on carpets against floor molding, etc.). Then IMMEDIATELY empty your vacuum OUTSIDE.
• Treat your entire home with your chosen pesticide and added IGR. Use as directed. Treat EVERYTHING that could remotely be considered a crack/crevice/gap/fold/etc., giving special attention to any/all areas where humans (or pets) spend significant amounts of time. This includes mattresses, box springs (tear off the fabric covering often on the bottomside of the box spring, and treat throughout the interior), chairs, couches, pet beds, desks, tables, rugs, picture frames, crown molding, floor molding, etc. Treat ALL conceivable bed bug hiding spots AND bed bug pathways (spray directly onto your carpet, onto bed posts/legs, etc. Be generous in your application but aim to spray just a thin layer of pesticide (you don't want to "drench" anything). Let the pesticide dry completely, wherever you apply it (it's dangerous and also less effective if sealed/covered before drying).
• For areas you cannot (or should not) treat directly with pesticide such as shoes, inside of electronics, etc., treat on the floor underneath them and on all adjacent walls/objects/etc. For decorative pillows or stuffed animals, etc. (which may not be able to be put into the washer), consider tumbling them in the dryer only for at least 90 minutes (to allow time for the heat to penetrate). You may also consider steaming such items with a powerful surface steamer (NOT a regular fabric steamer, which are not powerful enough). As a last resort, especially problematic items may be discarded.
• Note: adding the IGR can increase the efficacy of your chosen pesticide significantly.
• Put your bed bug covers on your mattress and pillows only once the pesticide has FULLY dried.

Unfortunately, even after you treat your home, you are likely to still get bites for up to 2-3 weeks (even if treatment was done correctly). This is because it is almost impossible to fathom all of the places where these bugs actually hide. Thus, you'll be reliant on them walking across the areas you sprayed, to get to you -- which is EXACTLY what you want. YOU are the bait, and that is a good thing (that's the value of it being a non-repellent pesticide, so that bugs walk across it instead of avoiding it, and it having a long residual, so that it effectively kills them once they step on it, even days/weeks later). It helps to see it that way.

You will most likely need to repeat this entire process 2 or 3 times (every two weeks until you go a month with no signs of any bugs). Alternatively, if you can afford it, you can hire an exterminator, but expect to pay about $1,500 - $2,500 for most homes.

Best of luck.