I did the shots when I was in high school for about 2 years and they worked for me. I was allergic to cats, dogs, grass, trees, dust mites, etc. and used to get sick multiple times a year from allergies. Since the shots, I only get sick with allergies maybe once a year, much better than before.
If you do them, I would definitely see an allergist and get the shots from them. The one I went to operated a walk-in shot clinic a couple days of the week that was separate from the main office. I would sign in and they would call me back in usually just a few minutes to get the shot. Most of the time, I was out of there in less than 10 minutes. The more convenient it is to get the shot, the more likely you will stick to the program.
I can now be around cats/dogs now without any problems so at least for me, the shots were effective.