I agree with the switching food for itchiness but it has to be a food with ingredients the dog has never had before (no wheat, no corn, etc). If you have money to burn, there are doggy allergy blood tests you can ask for.
For the first poster, joker's comet, since the doggy came from a shelter, I would give him the meds the vet prescribed and a good dog food and wait and see. My Boo was abused before we got him- he didn't have any parasites but he had bites and cigarette burns and the first two months we had him he lost ALL his fur, and he had no allergies at the time. I think he just wanted to get rid of all the residue of the bad previous owners.. (my unscientific interpretation) Now he has the shiniest, softest black fur. People at our park call him the "Lapin" (rabbit) because he's so soft. It'll be ok see?