"Now stop and consider a couple of points. HBO is spending untold millions on the production of this extravagant series, yet somehow they were suddenly so poor that 'he had to use what heads we had around'?"
In a word, yes. Any geek who has read the books (yes, the show is based on well-written high fantasy by George R.R. Martin) and watches the show would realize that there are differences between the two. For example, one of those differences is a lack of horses in the latter. Why? Cost. For all of the battles in this story, it would be extremely expensive to create the 100s, if not 1000s, of heads, dummies, etc. for these types of scenes or, for that matter, show all the battles in all their gory detail.