All white dogs have sensitive skin and Westie are no exception.
I would try a few more things besides what you already did:
- Change to a sensitive skin food like "Science Diet Sensitive Skin"
- Bathe only once a month with a sensitive skin shampoo
- Keep your Westies on an anti-flee program for 6 months non stop, sometimes just ONE flee bite can cause these allergic reaction
- Ask your vet for an essential oils daily pill, it keep the coat shinny and makes the skin less prone to allergies.