Dry Doggie Skin

We have a doberman named Wally that has very dry skin. We feed him Science Diet for Sensitive skin. I noticed when we used the Advantage he got welts (hives?) on his skin that would make sores. We started using a flea shampoo that gave him even worse hives and he had to have Benedryl. Now his skin is so dry and it's peeling off in huge flakes. Does anyone know of anything I can use? Our vet recommended a supplement, but it hasn't helped. He gave him a shot of steroids.