Dexamethasone in Controlling Dyspnea in Patients With Cancer

This phase II trial studies how well dexamethasone works in controlling dyspnea in patients with cancer. Dexamethasone may help control dyspnea (shortness of breath) and improve lung function and quality of life in cancer patients.

Inclusion Criteria: * Diagnosis of cancer. * Dyspnea with an average intensity \>= 4 on the dyspnea NRS (range 0-10) over the past week. * Radiologic suspicion of thoracic involvement, such as primary or metastatic lung cancer, lymphangitic carcinomatosis, airway infiltration, lymphadenopathy, pleural or chest wall invasion. * Seen at an outpatient clinic at MD Anderson Cancer Center or Lyndon B. Johnson (LBJ) Hospital General Oncology Clinic. * Able to communicate in English or Spanish. * Karnofsky performance status \>= 30%. Exclusion Criteria: * Delirium (i.e., score \> 13 on the Memorial Delirium Assessment Scale; range 1-30). * Oxygen saturation \< 90% despite supplemental oxygen \> 6 L/minute. * Previous allergic reactions to dexamethasone. * Diagnosis of diabetes mellitus uncontrolled with oral hypoglycemic agents or insulin. * Postsurgical open wound that has not healed at the time of enrollment. * Any infection requiring antibiotics at the time of study enrollment. * Major surgery within the past 2 weeks. * Megestrol use at the time of study enrollment. * Neutropenia (absolute neutrophil count \< 1.0 x 10\^9/L) at the time of study enrollment (bloodwork is not required if patient did not have chemotherapy within past 2 weeks). * Currently receiving or expected to start cytotoxic chemotherapy or immunotherapy within 1 week of study enrollment and additional dexamethasone cannot be used concurrently as per attending oncologist. * Severe anemia (hemoglobin \< 8 g/L) not corrected prior to study enrollment (bloodwork is not required if patient did not have chemotherapy within past 2 weeks). * Chronic obstructive pulmonary disease (COPD) exacerbation at the time of study enrollment. * Heart failure exacerbation at the time of study enrollment. * Expected to undergo therapeutic thoracentesis in the next 2 weeks. * High anxiety score (\>= 15/21) on the Hospital Anxiety and Depression Scale (HADS). * Chronic systemic corticosteroid use (\> 14 days) at the time of study enrollment. * Any expected corticosteroid use during study enrollment at higher doses than will be used in this study.