In my day, I was told not to take antihistamines or aspirin when I was pregnant. I'd have horrible headaches which I now know were sinus and allergy related during my second pregnancy. Making a vapor tent over a pot of boiling water did relatively nothing.
After that pregnancy, my problems increased and I finally went to an allergist for testing. I was found to be highly allergic to several things, and I started taking allergy shots.
I took them for almost two years and then because of something going on at that time in my life, I just quit taking them. A few years later, I went back to a different allergist (the old one wasn't on my plan) and I didn't test positive for any of the things I used to be allergic to. In fact, the only thing I tested strongly enough to to warrant shots was garlic. The allergist said that the shots must have boosted my immune system's response to the former allergens enough to have taken care of them.
That was about 20 years ago and in Kentucky. Nine years ago we moved down here and I had my preventive regimen down, so that I wasn't having the back to back sinus infections, colds, and flu all winter, spring, and fall. Unfortunately, when I got to a different climate, my cortisone nose spray started to give me headaches and nosebleeds, etc. and I had to adjust everything.
I went without antihistamines for two weeks prior to another round of testing and they did not find any strong allergies. Now I've caught everything that's gone around that's respiratory or upper respiratory this year and been sick all winter, so I'm going to go back for testing again. For years, daily Zyrtec and decongestants when needed kept everything at bay, but not this year!
So, use your better judgment about whether to take the shots or not. Allergies are something dynamic that sometimes appear and disappear throughout your life. There are some things though that I just wouldn't mess with. For example, one of my daughter's developed an allergy to penicillin the second time she took it. She's 27 now, but there's no way I would counsel her to attempt to take penicillin. The risk is too high.