Can a common steroid help cancer patients breathe easier?

Copied word for word from the study's registry entry, so the wording is the study team's rather than ours.

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.