Hi There,
I've been dealing with this same issue with my terrier x, Tony. I tried the Ivermectin treatment and while it cleared the mange up after 3 months I wish that I hadn't done it. He is suffering from a lot of immune system problems now (hair loss, itching, running eyes, vet refuses to vaccinate because he is not well). There has been some research indicating that Ivermectin may trigger immune system diseases. I can't help but wonder if that may be the root of Tony's recent problems. I can never be sure. I've talked to a Canine Nutritionist who also feels that Ivermectin may cause long term harm. Be sure to ask your vet for all the pros and cons of the treatment so you know what you are getting into.
Check out this link for other ideas. It suggests feeding a really good quality diet (either premium kibble or a diet you make yourself) as well as supplements and topical treatments. Hopefully you can get some ideas.
http://www.akitarescue.com/demodectic_mange-a_natural_treatment.htm
And please hold off on vaccinating until this clears up. Demodex can indicate that the immune system is run down and not doing its job by keeping the mites in check. Vaccines are intended for use in dogs whose immune systems are healthy and will give a normal immune response. Vaccinating Rocky while his immune system is 'down and out' could result in even more health problems. Talk to your vet about postpoing your annual boosters for a couple of months til Rocky is 100% healed up. My vet wrote a letter for me explaining why Tony's boosters were not up to date just in case I needed to supply proof of vaccine for someone.
Also, try running a search for demodectic mange with the search button at the top as many people have discussed this topic in the past.
Best of luck and keep us posted,
Tamara and Tony