If you can afford it, you should definitely try to get oxygen. I recommend either welding oxygen or aviator oxygen. The benefit of aviator is that it is "breathing grade" and does not require a prescription. I only add this because I have gotten some flack from my welding supply store for the amount of O2 I use. They know I am not doing that much cutting and they question me. I made this worse by trying to fill my medical tanks as well (because I had a prescription but O2 is not covered by my insurance), and they will refuse to sell to me if they know I am breathing it. So I get aviator oxygen and they don't complain. It is the same price as welding O2 and probably a quarter the cost of medical oxygen if you pay out of pocket. Keep in mind that welding oxygen is just as good as "breathing grade" oxygen, and these companies only refuse the sale due to liability concerns.
Clovis also makes a good point. Many doctors (mine included) will not prescribe oxygen when they know insurance won't cover it. Don't let them do that. Paying for it is your responsibility and never let a doctor shut down an avenue of treatment for this condition because insurance won't cover it. (Especially when it is the most effective treatment available.)
Regarding the medications: I am chronic and all of the stuff I was prescribed for a long time had no helpful effects. In that regard I would say I had "no medication." I did, however, have imitrex tablets, which could still be considered "no medication" as they absolutely suck for clusters.
The advice I was given from a fellow clusterhead regarding prednisone was that if it stops working you need a higher dose. For example, if it stopped working at 30mg, then you would go back up to 50mg and taper back down. Of course, prednisone is only a transitional therapy until some other medication can take effect. I have been warned by many clusterheads not to take a lot of prednisone because of the cumulative side effects. But for a while, until it stopped working, prednisone was a blessing. Now I know them as "the devil's tic-tacs."
@81007 For me, oxygen works almost as fast as an imitrex injection, which is way faster than the pills. But waiting until a full blown attack to take a slow acting drug seems like prolonging the agony to me. If you get shadows before your full blown attack, my recommendation would be to take the pill at the onset and not wait, but injections are better. I only use imitrex as a last resort (aka when oxygen is not available).