If they look something like this, they are hives: JT second lesson 010110 :: JTHives1.jpg picture by knaskedov - Photobucket
After 3 weeks of trying everything I could think of, moving him to a different stall, taking away the alfalfa, taking away the bermuda, taking away the wheat germ oil, taking away the pellets (not all at the same time of course) and antihistamines, I finally gave in and picked up steroids at the vet's. One day later he is hives free, he'll still need to take the steroids for another 10 days, but hopefully they'll be gone for good.
While researching hives I found they are either caused by allergy or stress. As I bought and moved JT to our barn only 3 days before he broke out, it was probably a combination of both. The reason I waited so long with the medication was that I was hoping to figure out what caused them, but a lot of articles state that often you don't find out and they don't come back. That's what I'm hoping for.
Waiting a little bit shouldn't hurt and in most cases they disappear without medication, but if they don't go away your vet will probably give him steroids too..