Hi,
I get allergy shots for cat dander and pollens. Mine are covered under preventive care and are 90% covered. I had Rush and Rush day is kind of expensive.
I take Xyzal (antihistamine) and Nasacort (steroid nasal spray) for allergies. Both are prescription medications. Benadryl works and it's OTC, but is really sedating and you have to take it several times a day.
Tammy2009 is right about cat bathing. The day before every allergy shot, my cat gets a super-duper-cat-dander-shampoo-bath. Wash bedding every week in hot water, don't let your cat in the bedroom at all, don't wear your pj's anywhere except in the bedroom, shower before going to bed, don't let your cat on the couch, don't sleep where your cat likes to leave her dander, don't give your cat big squishy hugs, wash your hands after petting your cat, pretend you're allergic to dust (because cat dander gets trapped in dust), get a filter that traps cat dander (not just dust because cat dander is much smaller than dust) for your heater/ac, etc.
Some of my hints might be a bit odd, but cat dander really does a number on my asthma, especially at night. It took a too long for me to get to a point where I actually sleep through an entire night without albuterol wake-up calls.
Take care.
Allergy shots should be covered by insurance (I'm in canada so depending where you live it might be different), it comes under prescription drugs so I have 80% coverage. However, one vial is only $150 so it is the same cost as my asthma inhalers that I go through every 3 months and a vial lasts a year.
Try also bathing your cat once a week with water, helped me a lot to decrease the dander present. Keeping the shedding down by daily brushing (preferably outside) and feeding high quality food (lots of omega 3 and 6s) should help as well.
Otherwise, grin and bear it and spend the money on allegra. Here in canada because the allergy medications are OTC, they aren't covered at all.