OUTLINE: Regimen A (dexamethasone induction): All patients receive high dose dexamethasone orally on days 1-4, 9-12, and 17-20; courses repeat every 35 days for a total of 3 courses. Regimen B (stem cell mobilization and collection): Following a 4-6 week break after dexamethasone induction and regardless of response or progression, patients have stem cells collected following administration of filgrastim (G-CSF) by injection; G-CSF continues until completion of stem cell collection (maximum of 6 aphereses). Regimen C (first peripheral blood stem cell transplant (PBSCT)): Regardless of disease progression, patients recovered from toxicities from dexamethasone induction and stem cell mobilization and collection, and who have adequate number of CD34 cells collected for at least 1 transplant, receive 1 dose of melphalan daily for 2 days followed by peripheral stem cell reinfusion. G-CSF is given by injection beginning on the day after peripheral stem cell reinfusion and continues until the absolute granulocyte count is greater than 1,000/mm3 on 3 consecutive days. Regimen D (second PBSCT): Patients who had adequate stem cell collection for 2 transplants during regimen B, have no evidence of disease progression after the first transplant, and have recovered from effects of previous treatment undergo a second treatment with high dose melphalan with PBSCT and G-CSF support, given 3-12 months following the first transplant. Patients who had enough cells collected for only one transplant go directly to regimen E. Regimen E (maintenance interferon alfa): Beginning 5-12 weeks after transplant and upon hematologic recovery of blood counts and other toxicities, patients with at least a partial response after high dose melphalan and PBSCT receive subcutaneous interferon alfa injections 3 times a week for 5 years or until disease progression, relapse, or toxicity. Patients are followed every month for 6 months, then every 3 months for 5 years, then annually thereafter.