I have an allergy dog... we did see a derm and had the skin and blood testing done. Niko is most allergic to dust mites, mold, bugs and some grasses. I've never quite been able to figure out if he has food allergies since he is always itchy from his inhallant issues.
We did the allergy shots and I believe they were helping him. We stopped a few months ago because Niko was having fits at my vet's office every time he was going to get a shot. It was taking 4 vet tech's and myself to hold him down... he is a very sweet dog, but was so stressed out over it... I had to stop. He was on them for a little over a year. They do take several months to show any sort of improvement and it's never 100%... each dog is different. Some improve 50% and some 80% and some it doesn't help at all.
We use antihistimines - Tavist, Zrytec and Hydroxyzine. All help for awhile, but not enough. Another med is Temaril-P - which was prescribed by my dermatologist. I don't like giving Niko this since it has pred (low dose 2.5 mg) and 6 mg of antihistimine. I only give this very infrequently... only during his really itchy months which December and January seem to be the worst... for him I think it is dust mites since I have carpet and can't really rip it out now.
From what I have been told... if your dog responds well to steriods... then it is most likely an inhallant allergy... could be anything in your house or outside. Personally, I wouldn't treat with steriod shots. Niko had only 1 or 2 steriod shots when he first started showing signs of being itchy... because I really didn't know what was going on with him. Also, your dog should be checked for mites... these can cause severe itching and a few members on this board found out after many months of meds etc... that it was a mite issue. It is probably a little more easily treated than allergies. My derm had me treat Niko for mites even though his scrapings showed none.... many do this because not all scrapings will come up positive for mites.
I've also tried every food out there and Niko was raw fed for 4 years... he was still itchy. He has the exact same itching as your dog... the anal itching always made me think that he had a food allergy, but with every food (even the prescription foods - which he is still on) he still had the anal itching. Niko is currently on Science Diet Ultra ZD - it's an allergy food and the ingredients are really crappy. I don't like feeding him this, but am searching around to find another food that won't upset his stomach.
You could try the Orijen Fish based food... or even Taste of the Wild Pacific Stream (I think)... I've read many have had success with these foods. They do not have grains either. Both are a little pricey, but compared to the ZD they are cheap. The ZD is $83.00 for a 27lb bag and Niko eats 6 cups a day and maintains 100lbs... he is not fat. I think it's because there isn't much meat in this food... it is a crappy food, but does help dogs with food allergies.
You don't want to do too much changing of things at once since you will go bonkers trying to figure out what worked and what didn't. You can also give Salmon oil in his food - it is suppose to help with skin and inflammation... although if your dog has true allergies, it won't help that much. At least, that was the case for me.
I would hold off on the steriod shots and try antihistimines if you haven't. Sounds like you will most likely need to see a dermatologist for your boy. My previous shepherd had a low/borderline thyroid and was on .06mg of Soloxine... it does sound like your dosage is high and I could be wrong here, but your dog seems young to have a thyroid issue. I always thought it was a middle age issue for dogs. Usually with thyroid issues, the dog is tested and then given a dose of meds... the dog is retested in a month or so to see if the dosage is correct. My dog was retested every 8-12 months or so - to make sure his dosage was correct.
It would be good for you to get the thyroid results to know exactly where his range was. My dog's was on the borderline, but he was very heavy (120lbs) and was only eating 2 cups of food a day... so I chose to put him on the thyroid meds to see if I could get his weight down since being that heavy would shorten his life. My vet gave me the option to try the meds... so I would get the test results.
I've also gone down the homeopathic and holistic route, but that didn't help tremendously either... it could for your dog since every dog is different.
Oh... does your dog smell funny at all? My dog does smell when he is really itchy... his coat was somewhat greasy like. I give Niko bath's every week or two in a good Oatmeal based shampoo. This does help too.
Please let us know how you do... the dermatologist is probably your next step.