Sorry to hear that you have itchy budgies.
The good news is that budgies get body lice and mites faily infrequently. The most common external parasite that I see is the 'Scalely Leg and Face Mite' (Knemidocoptes). Here is a link to give you some information about this annoying bug: http://www.peteducation.com/article.cfm?c=15+1829&aid=3068.
What is more likely is that your birds, if you are feeding a predominently all-seed diet, are suffering from Hypovitaminosis A and general malnutririon. Not having enough Vitamin A makes them itchy. Also, depending on where you live, if your flock have not had the benefits of full-spectrum light (either unfiltered sunlight (which means NOT impeded by glass) or from a full-spectrum light bulb), then they may have problems with Vitamin D3 and Calcium deficiencies as well.
Birds are sensitive to any aerosolized product. I would therefore refrain from spraying anything in their room and on their bodies, with the exception being warm water in a spray bottle for a daily shower. Most of the pet store products forr birds offer more harm than good.
Your birds may also benefit from increased humidity or bathing to help their skin, and more activities to alleviate boredom.
Following is a list of tips which I hope you will enjoy. A well-bird health check is a fabulous idea. There is a link included below to hlp you find a vet.
Happy Management Plan
As you might know, a seed-based diet is virtually deficient in Vitamin A, Calcium, and Vitamin D: all three of these nutrients are essential to any bird, but particularly to an egg-layer. A bird's feathers may look gorgeous with a seed diet, because the seeds are loaded with fat.
-To convert to pellets may take upward of a year, but the results are well worth it. I prefer Harrison's (http://www.harrisonsbirdfoods.com/), but any organic pellet without additives will do. This website has a wealth of information about nutrition and conversion, so it is worth a peak even if you choose something else. Pellets should comprise approx. 70-75% of the diet. Conversion should only occur after your bird has been deemed 'healthy' by a vet. Here is the link to help you find one: www.aav.org/vet-lookup.
-Next on the list is the 'seven layer salad': (http://www.featheredfitness.com/cat/Seven+Layer+Salad.html) . Not only are these fun for your bird, but I think they are a blast to make. Your goal is to pick things laden with Vitamin A, like dark leafy greens, or red, yellow, and orange veggies. Think of fruit more like dessert. Use lots of healthy whole grains also. You may need to make food size allowance to suit your bird. This is a costly activity, both in terms of money and time, but well-worth both!
-Sprouted seeds have much more nutrition (they are actually healthy!) than regular seeds. Here is the site I like : http://www.chinaprairie.com/ . Once sprouted, the birds enjoy these as not only a food, but an activity as well. You can serve them as a snack, a salad dressing, or diet mainstay.
-Try a full-spectrum light bulb for 7-12hrs / day (http://users.mis.net/~pthrush/lighting/spectrum.html) . This will allow Vitamin D3 to help Calcium be absorbed, which the bird would otherwise get from direct sunlight (a rare commodity for us these days, but gradually improving!). Calcium is extra-important in females, especially if they begin to lay.
-Mist with plain warm water at least two times weekly.
Your vet may choose to give vitamin and/or mineral injections to get a jump-start on good nutrition.
-Now would be a great time to take your bird in for a 'well-bird health check' with your friendly avian veterinarian. Here is a site to help you find one: www.aav.org/vet-lookup.
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I am so glad that everything is working out for you. It is nice to have another birdlover enter the fold. I think budgies are like little chattering jewels; if I could, I would have a house full of them.
Stay away from anything artificial for your birds and you will do well.
Hope you have many happy years together,