Well not all dogs have an allergy, but wheat and corn tend to be a common offender. When I got Hiro he was licking his paws and rubbing his face all the time and apparently that can be a sign of an allergy. I changed his food to a decent food (he was on puppy chow before) and stopped feeding him treats, bones etc with so much wheat and his allergies have cleared up a lot. Not to mention his skin is healthier and not dry and flakey anymore. I changed to a wheat free/corn free food and he's doing much much better.
Natural Treats
These are really good treats for dogs... and they're grain free.
There are chewies out there that don't have wheat in them (bully sticks, etc) and grain free food!
Although, milk-bones aren't bad because of the wheat necessarily... it's bad because of the rest of the stuff.