"The best thing you can do for your children to stop them getting allergy is to expose them to a cowshed for 1 hour in the first 6 months of life." says Stephen Durham, professor of allergy and respiratory medicine at Imperial College, London.
That's what I just read in an article in the New Scientist: "Not to be sneezed at" by Linda Geddes, at http://www.newscientist.com/article/mg22630161.000-hay-fever-can-airborne-allergies-be-cured.html#.VSllZVw-A3o . Sounds like a simple approach to lifelong trouble - too late for most of us though!
Breastfeeding them helps. And not being hung-up on cleanliness (which, I guess, is where a cow shed is useful).
Whilst there is a lot to be said for fortifying the immune system in building up resistance to allergies, not all allergies may necessarily have just a physical component. I am thinking here of the difference between food intolerances and food allergies. There seems to be a mental/emotional component to this, i.e. we may develop a food intolerance to some foods if eaten at times of stress.
Stress again ......
This is great article. No child is born with allergies, they develop with exposure. Allergies can't be prevented, but if mom eats a healthy food, gets proper exercise, etc. that will diminish the chances a lot. Breast feeding is the only thing that greatly reduces risks of many allergies.