Cortisone shots or a short course of oral steriods is a great way to calm an allergic reaction down.
The danger of steriods is with long term use. In addition to what Amanda has already mentioned, long term steriod use can also cause diabetes and Cushings disease.
Adding omega fatty acids to boost the immune system can really help with allergies. I give Lady 3V Caps:
Omega Fatty Acids: Sources, Effects, and Therapeutic Usesin Dogs 3V Caps Skin Formula for Small DOG & CATS (60 caps)