This phase II trial studies how well infliximab and intravenous immunoglobulin therapy work in treating patients with pneumonitis that does not respond to steroid treatment. Immunotherapy with monoclonal antibodies such as, infliximab, may induce changes in body's immune system and may interfere with the ability of tumor cells to grow and spread. Intravenous immunoglobulin therapy may improve pneumonitis. It is not yet known whether giving infliximab and intravenous immunoglobulin therapy will work better in treating patients with pneumonitis.