work on the principle that exposing a person with allergies to initially small and then higher doses of the substance the are allergic to will make the body gradually tolerant to the allergen and will reduce the symptoms of allergy on subsequent exposures. Allergy shots don't work for all types of allergies; they are better for environmental allergies like mold and mites and don't work very well for food allergies.
I think of allergy shots as the last step in the treatment of bad allergies. They are quite expensive and they do require a long time commitment, as you need to make multiple visits to your allergy doctor
for shots over weeks to months. Therefore, I don't think of allergy shots as a first-line treatment.
In particular, if you haven't maximized your treatment of your allergy symptoms with medications, I would recommend this first. There are multiple medications that are used to treat allergy symptoms, including steroid sprays and anti histamines. If, on the other hand, you are using all of these medications and still not having good symptom relief, than allergy shots may be the way to go.
Your primary care doctor
or your allergy doctor will be able to provide additional insight.