We have flown many times w/ sw. The last trip on the way out, they made the announcement on the plane, we were getting a different snack (not peanuts). I would think SW would make it safer for the "allergic" person if they made announcements in the boarding area. So those who have peanut products can dispose of them, and purchase other products which are safe.
I also was reading on the southwest web site, that they can't prevent people from bringing peanut products on the plane. So, just be careful.
Here is the link to the disability page, scroll down to the peanut part.
http://www.southwest.com/travel_center/disability.html