You first need to find out what the cause is of the itching. Some dogs will also have a bacterial or fungal infection that is SECONDARY to the itching.
You will need to see the vet to diagnose this and get treatment options.
There are some simple things that you can do if you suspect allergies are the reason that the dog is itching.
First, switch the dog over to a low allergy diet. You can get allergy pet food at any pet store.
Second, reduce his exposure to allergens. Keep him off grass, pine bedding and other irritants if you suspect that this is the cause. Also, get him started on a prescription flea medication.
Third, get him started on a supplement that contains omega three fatty acids, vitamin a and vitamin c, at least. Good skin starts from the inside out.
Steroids are used to give some relief from the itching. They DO NOT fix the problem but can alleviate some of the symptoms and allow the skin to heal.
Please let me know if you have more questions about this.