I understand that Westies are very prone to skin problems & there are many causes ~ fleas, mites, food intolerances, allergies etc etc. It seems a bit simple for your vet to dismiss it as hay fever, especially as the piriton don't work. I assume he did examine your dog thoroughly to see if it has fleas or mites. If it is harvest mites (they are hard to spot but look like orange dust & usually found between toes & pads) then frontline spray thoroughly worked in between toes etc may help. But be careful if the skin is broken as I don't think it should be used on broken skin.
I've found teatree & witch hazel cream seems to provide some form of relief for my dog but perhaps you should go back to your vet for further help. If you don't get any joy, you may need to start looking at your dog's diet in case it is food ontolerance.
I do sympathise though as it's horrible to see them ripping themselves to bits & feeling helpless to stop them.
