Sigurdsson has made a huge impact at Swansea since joining the club from Hoffenheim in January and his double in Saturday's 3-0 win at Fulham took his tally to five goals.
The Iceland international has already suggested he does not want to return to Hoffenheim to sit on the bench, while Swans boss Brendan Rodgers has confirmed his interest in a permanent deal.
Allen is enjoying playing alongside Sigurdsson and believes hanging on to the former Reading player must be a priority for Swansea.
"Gylfi has slotted in better than anyone I've ever seen," said Allen. "Of the young players out there I don't think I've seen too many better than him.
"On Saturday he scored another two goals and, considering that's from a midfield position, that shows how good a player he really is.
"A goalscoring midfielder, as everyone knows, especially at this level, is like gold dust. It's a shame that he isn't our player.
"No doubt we will do everything we can to sign him and I think, if you ask him, he'd probably agree that he'd like to stay.
"He's with us until the end of the season and then we've got to take things from there. Keeping him is definitely one of the priorities.
"As a team we're gifted, but he really has quality. As well as that and as well as his goals, he proved that he's prepared to work for the team.
"He's been a really great signing for us."