Yes. Steroids can work.
There are some other good alternatives, especially when the problem is a true environmental allergy issue (atopy).
A newer and quite effective drug is Apoquel. It essentially blocks the signal going from the skin to the brain telling you to itch, lick, scratch or chew.
It can be used long-term, and has far fewer side-effects than prednisone. It was very difficult to get for awhile due to backorders, but now more available.
Another option is Atopica, which was the favorite, and still quite good, before Apoquel hit the market.
However, these are prescriptions.
On your own, allergies are very difficult to manage. Even antihistamines only work about 25% of the time, and that's with pets with mild allergies. You can try giving Zyrtec (NOT Zyrtec-) antihistamine. Get the 10mg tablets. Any pet over 20 pounds gets a full tablet every 12 to 24 hours. If under 20 pounds, than I typically start at a 1/2 tablet. Might help some.
Dogs allergies are not as much inhaled like us. They are exacerbated directly through the skin. So, even though a normal dog should not be bathed more than every 2 weeks, an allergic dog definitely benefits from more frequent bathing.
I would recommend a prescription shampoo that contains Pramoxine, which can desensitize the skin a bit. Otherwise, a hypoallergenic, soap-free dog shampoo is next best.
Lastly, if there is any.....any....secondary skin infection, that must be treated by the vet. Infection, in itself, will exacerbate allergy symptoms.
Hope that information helps