We went last year and got the teal bag and coins at all the stations as mentioned by a PP. We exchanged them at the Town Hall. When we went, they had a large sheet of paper on the counter with pics and allergy info about each of the alternate treats offered. You put your coins on the pics of whichever treats you wanted with one coin equalling one item. We only had 3 or 4 coins, so they grabbed a handful of extra coins for us to exchange. We ended up with 18 coins total exchanged for 18 allergy-free treats. It filled one whole bag.
The bags can be picked up (along with your first coin) when you enter the party and get the regular bags and initial bag of candy. Just ask the CM for an allergy bag. It seemed like most of the candy stations also had a stash of allergy bags too if if someone didn't have one.
Adults can trick or treat too, so if you still want some candy, you can get a regular bag and candy at the stations for you while the kids get the allergy bags and coins that you swap later. Or, depending on your kids/ the severity of the allergy/ if they still want the experience of getting candy in their bags, you could be the one to collect the allergy coins while they collect the candy, then swap treats at the end. My toddler is the one in the family with the allergy and I knew he wouldn't understand why his sister was getting candy in her bag while he was just getting coins, so I got the allergy bag and coins while he trick or treated for the candy. I just of course couldn't let him have anything until I swapped my coins out for the allergy-friendly treats for him.