I've tried allergy shots twice, once as a very young child and once in my teens. In both cases, after a year or so of uneventful allergen injections, I had an anaphylactic episode. Even though I have an Epi-Pen, know how to use it, know how to monitor myself, etc., I wouldn't give myself or anyone I love an allergy shot. Ever. In both of my anaphylactic episodes, the reaction was so swift and severe that I literally was sitting and reading one second, and waking up with an ET tube in place in the ER the next. In the second anaphylactic episode, I was 17 and actually had an Epi-Pen in my purse...but my airway closed off so quickly (while the IM epinephrine had yet to take effect--I gave it to myself through my jeans) that had I not been intubated, I would likely have died.
Epinephrine is invaluable, but I wouldn't trust that alone to bring around ANYONE in an anaphylactic episode, especially a child. And if something did go wrong, and your child died, you would NEVER forgive yourself for having compromised her safety for the sake of convenience or to save a little money.
That's my $0.02