Yes, I agree that you should see an allergist and get skin testing done. Although there is some controversy that skin testing is completely accurate, they are the best method there is to detect airborne allergens (food allergies is another story). When you know what is bothering you, you may be able to avoid it. You also may find (as I did) that you aren't allergic to somethings that you thought you were (I thought I was allergic to cats, but I'm not).
The shots are really a personal choice because they are such a commitment of time and money. My father chose to do them and he says that his allergies are much better, although he is far from "cured" even after 3 years of treatment.
If you plan to move in the future, the allergy shots aren't for you. Once you move, you may not be exposed to things you are allergic to and you may develop new allergies. For some people, moving really does help. A friend of mine moved to the desert and says she's never felt better.
Also, if all you are taking is over-the-counter allergy medication, you may need something stronger. A combination of oral medications and nasal sprays can work better than one alone. Air filters for your home (non-ozone producing), vacuuming frequently, and changing the filters in your heating/a.c. system every 3-6 months can help, as well. Make sure to use hypoallergenic products for washing clothes, cleaning your house, and on yourself (lotions, soaps, cosmetics, etc.).
The shots, like I said, are your choice. Try some of the other solutions to reduce the allergens in your home, go to the doctor and get some other medication, then see how you feel. Good luck. I hope you find some relief soon.