As always, Eileen provides such excellent, understandable explanations. I will add that if the body is under constant or long term stress, be it physical or emotional, it puts a toll on the adrenal glands which produce the cortisol. To simplify, you can view Prednisone as a replacement for cortisol, that for whatever reason your body is not able to produce enough of to battle the PMR along with other causes of stress to the body. Often the adrenals work so hard long term trying to keep up with cortisol demand that they simply can't, that they "crash" or give up. They cannot produce enough cortisol to deal with our PMR inflammation (plus whatever may have caused it), and thus we need to provide artificial cortisol in the form of Prednisone. This makes sense when we look at the common idea that many AI diseases present after a significant event or stressor, or in people with long term stress, or in older people who have adrenal glands that are no longer functioning optimally. Here is a fairly simple link to how cortisol works in our bodies:
http://www.yourhormones.info/hormones/cortisol/
As you read through the symptoms of having too much cortisol in your body, they will sound familiar, as some will be the same as what people may experience as side effects from Prednisone. Side effects may or may not mean that your dose needs to be tweeked. People are very anxious to get off of Prednisone for these reasons, but remember that allowing the pain and inflammation back in and taking away the "fake cortisol" will seriously stress your body as it can't keep up with what it needs to fight the PMR cause. That's not good either, as cortisol is needed for other roles in the body. Often it's best to choose the devil we know (Prednisone) and can try to control.
I am going to disagree with Eileen on the value of the adrenal supplements. I'm not going to say that they will help noticeably, but they may help, and they likely won't hurt. If they easily fit into your budget it won't hurt to add them in. If they are a strain to the budget leave them out. They certainly aren't going to have you waking up feeling better the next day. I do take adrenal support supplements myself, and both my naturopath and regular doctor encouraged me to do so.
I know we talk about this often, but I think this may be where diet and lifestyle change can be important as well. The less we stress the body, with chemicals, artificial ingredients, too much sugar, etc. the less stress the adrenals have to deal with. We need to be sure we are getting enough sleep, don't "overdo", etc. to baby those adrenal glands so they can do their job.
I hope some of this helps. I always feel a great need to understand things myself and it empowers me to at least understand the process and why I am doing what I am doing.