The first measure to take is avoidance of the allergen in question (after diagnosis, of course!). This is not always easy because of psychological associations (e.g. separating a child from a favourite pet) or sometimes even impossible (e.g. avoiding airborne pollen).
However, it should be possible to reduce the quantity of allergens. (e.g. house dust) or even get rid of them (e.g. contact allergens).