Depends on exactly why you need the steriod. For strictly lung function, inhaled corticosteriods are prefered, if they do the job. You might have to try a high dose (like the Advair Diskus 500/50 or high-dose Flovent) if lower doses don't work for you. Also, Singulair is a nice alternative that works for asthma and seasonal allergies and doesn't come with the steriod side effects, like thrush (throat infection - rinse your mouth after using your inhaled steriod). However, Singulair is not a steriod and may not work for you - again, it depends on exactly what is causing the problem (CF vs asthma vs other allergens).
I would recommended trying an oral steriod LAST, if nothing else works. Long-term side effects of oral steriod therapy are terrible. Sometimes, however, that is all that will help and you have to manage some of the side effects (like lots of calcium and vitamin D for your bones, eye exams, etc). However, oral steriods tend to be pretty effective...
By the way, often times with inhaled steriods you won't notice a difference until a few months into therapy. They are not really a quick fix, but people tend to notice it makes them feel better after they've been on them for a while.
~Larissa~