I think this came out of The Dog Whisperer. Don't comfort them when they are afraid or you will reinforce the fear. Seems dogs and people are different, and treating a dog like a person in times of stress does more harm then good.
I believe all this is true, but it's so damn hard not to comfort a Yorkie. They are just too cute.
What I don't understand is how can an animal derived from wolves be afraid of thunder? BTW, I like to be held when I scared.