When I was a young person I worked at an asthma and allergy clinic for about eight years. I was a secretary.
Both allergies and frankly, anxiety from being autistic (living in a world not made for you) complicates your asthma. You'll feel much better after you've been getting shots for a few months. Trust me, it's WAY worth it. It might also help you to cope with autism issues because it'll be one less irritating thing to deal with. If your body isn't fighting allergies, you'll have more energy to deal with sensitivity problems, social things, or whatever else is going on in your life. You should be completely cured from the allergies you're taking shots for in 1 1/2-3 years.
There will of course be a pinch from the needle and a slight burn from the alcohol they use to sterilize your skin. The shot area may feel a little warm afterwards. It's possible there could be a little bump for a few hours. They will make you stay in the waiting room for about 15 minutes afterward and then you can leave. It is highly unlikely that you will have any kind of serious reaction.
The most common reactions that people would have was a very large bump at the injection site. They would usually just make the people wait around a little longer and give them some Allegra or Zicam (antihistamine). A life threatening reaction would be tongue swelling and/or severe shortness of breath, which NEVER happened in the eight years I was there. We had people steadily coming in for shots all day every day, 5-6 days a week.
I hope this helps. If you have questions, let 'er rip.