My son had his first test challenge at his local doctor's office when he was five years old. He had one Anaphalaxis reaction on his first birthday (to milk) and was on avoidance of milk since. Based on a few slip ups of undeclared milk products in things he ate, I decided to ask the doc about testing as he clearly had no reactions to these products he ate. He said to bring in some Ice Cream and eat it in the office with him. Well, needless to say he had some anxiety (my son) as well as his mother, but had no problems eating the few scoops.
These days, docs generally don't do them in the office setting. In fact my son is on a waitlist to be tested for his other allergies at Mt. Sinai hospital for some of the things we see him outgrowing based on RAST and the skin testing. I hope to post good news about that in the near future.