Hi R.,
You've probably reached the allergist's office by now, but here was my experience with my 2 1/2 year old a few months ago.
She was tested for airborne allergies, which might be slightly different, but she had the skin prick test.
First we met with the allergist and discussed the test, the possible allergies, and possible ways to deal with them.
Then, she had the skin prick test. This was difficult. They took her shirt off entirely and two nurses pricked her hard with this device that injects 6 allergens at once through tiny needles. My daughter really cried and seemed offended at having been hurt by these strangers. She was on my lap and I just comforted her for a long time.
She couldn't touch anything on her back for the full test time (30 minutes, I think).
They allergist I went to (Kaiser, Santa Clara) had a special room with a big TV and lots of videos so we just wantched TV the entire time.
The nurse came back in and measured the welts on her back twice and then we were done. I later had a phone consult with the doc to discuss the results.
Good luck! Bring lots of distractions. I'd find out what they have available to distract your little one. If they don't have a TV you might consider bringing something she can watch or do (your laptop, if you have one?). Bring something that's a real treat for her because it won't be much fun!
Good luck. I hope she doesn't have serious allergies!