Thank you guys for the advice/suggestions! We feel so bad and he is just scratching all the time.
My old dog who was a Pointer named Shiloh, would scratch there was no tomorrow. Poor guy had allergies bad all over in his ears and feet

He was on the special food and had pills daily. We say Peanut is a reincarnated Shiloh, but a Yorkie and NOT as bad with the allergies but a scratchier.
We should try the shampoos and lotion. He def. has dry skin and maybe that will minimize the itching. If we need to, we will resort to the shot for some longer lasted relief.
Benadryl def. helps Peanut sleep at least for 6 hours so we can! haha
Thank you all again!