Pretty much every time my daughter gets a gnat or mosquito bite on her face even in the vicinity of her eye, it will swell up just like you described. It turns red and even gets a little bruising under the eye too... looks like she's taken a rough hit in a boxing match! ;) I give her children's claritin which helps a little, but mostly time takes care of it. The first time it happened we did take her in, but it was a waste of co-pay! :) He just told us to give her the claritin, and be better about using bug spray. He did say to give her the claritin if she's going to be out in the evening or where bugs are worse, just to prevent an allergic reaction like that.
All that said, of course if you think it's pinkeye or a stye, you'd want to take him in.