[Coda]

Sure, I don't have any complaint with the rubbing alcohol part of it. I did a bit of research just now and found that the principle there is that the evaporating alcohol draws some heat from the site, and cooling helps reduce the inflammation. (Ice would work too.) It also helps to avoid infection, which won't do a whole lot to relieve the itch but it'll help it to heal faster.

The bandage... I'm getting conflicting results. One site says that bandaging the bite could cause a staph infection, but the rest of them say that a bandage is good to protect the site from infections caused by absentmindedly scratching at it. I don't tend to trust a single scary claim; if this were serious medical advice I would have gotten more results. That said, you're right, unless you've already scratched it it ISN'T a sore, so a bandage isn't necessary.

I suspect the nail pressure thing is the pain and pressure overloading the nerves so they stop sending an itch signal.