Oral treatment is really low tech as long as you're not dying from it. For instance, for grass, the pollen is easily available, you can just chew seed stalks and spit them out. I've gone from being pretty miserable 5 years ago to not feeling much in the pollen season.
Yeah, it's possible to DIY in some cases since, as you say, the treatment is low tech, literally just having the allergens in your mouth. But I highly recommend using an allergist, especially if your allergies are severe, where the possibility of anaphylaxis is there. There are other possible rare side effects as well, such as eosinophilic esophagitis. Following a protocol where the amount is strictly controlled and possible side effects are monitored is important for safety.
Plus, if your doctor is very clued-up, they might even know of a scientific study to refer you to where your experiences can better the academic literature about your allergy. Sometimes, you even get paid for participating in such experiments.
The first problem with this would be if you have a severe reaction because you gave yourself too large a dose or happened to be particularly sensitive that day (having an illness or other immune reaction going on).
The other thing I'd question is the efficacy. The standard treatments gradually increase dose to "train" the immune system. Presumably you won't have as fine-grained an ability to adjust the dose you're exposing yourself to, and so you might over or under expose.
