Some common allergy-causing foods (i.e., fish, shellfish, peanuts, or tree nuts) are easy to avoid when cooking from scratch. Other common allergens will require an ingredient substitution.
If you are avoiding milk, you may be able to tolerate a milk alternative, such as those made from soy, rice, or coconut, which can be substituted in equal amounts.
There are commercial powders that will replace eggs when baking from scratch, and others have had success with replacing each egg in a recipe with 1 packet gelatin mixed into 2 tablespoons of warm water.
Baking without wheat is particularly challenging, since no single flour will produce the same results in a baked good as standard wheat-based flour. A combination of flours made from rice, potato starch, tapioca often works best. You may need to experiment to find the combination that works best in your recipe. There are also several commercial wheat-free flour mixes available on the market that are convenient and work well in a multitude of recipes.