The Thundershirt helped Teddy with his storm anxiety. We rarely have to put it on now. As others have said, it doesn't work for every dog, but I think it is worth a try. Others have had luck with a tight fitting piece of clothing. Similar concept.
I turn on lights during storms and play fetch with my boys, or we do tricks for treats to distract Teddy. Always remain cheerful and upbeat.
I know how upsetting it can be to see these little ones panicked.