S.,
My 3 year old was diagnosed with nut allergies last year. It can be very scary. We talked about the allergies with Andrew from the beginning, knowing he didn't (and still doesn't) fully understand. When we check something for nuts, we say outloud, "Andrew, let's see if this is safe for you." Now, he and my other two children will ask if something has peanuts. While I would never trust him at 3 to take control of this, I think it's good he asks so that if someone goes to give him food it might give them pause.
At birthday parties, Andrew is now excited that he gets special cupcakes. He has never given me any trouble about not getting the cake. It's never a relaxing time when we go out at events with food, but you're right, you have to balance safety with your mental and social well-being. It's hard, but you can't let food allergies to control your life - they already control your diet.
I also belong to a Food Allergy Support Group in the Seacoast of NH. I find it helpful to talk with more experienced moms and those with more complicated situations. FAAN is also a great resource for information.