Pure white vinegar (soak a gauze pad and place it over the sting), and ibuprofen for a large single jelly fish hit (such as a Man of War). Been there, done that when I lived in Mexico. Had a boy stung this week, did the vinegar and Advil and he was up and running, and fine in short time.
Prednisone, doctors visits etc...usually only necessary for terrible cases of "Sea Lice" rash. Which I have to say, is the most annoying thing I have ever had (when I lived in the Caymans). Been pretty lucky here myself (knocked already).