Another Dog Whisperer Fan
Seems to me, that taking dog for regular walks, even on windy days, and not playing into the insecurity (Dog Whisperer stuff) is a start. There's probably a chapter or two in one of his books.
But also having a secure quiet place is also a good thing.
Dogs do feed off your energy, so make sure you're calm and collected too. My Nala never experienced fireworks or thunderstorms until we moved here - and doesn't like either. Will try to scratch her way through the back door to get in, but once inside, she's fine. A loud *crack* will jerk her head up, and she may go look out the window, but she's calm. If she does start getting anxious, I tell her in a strong voice to "go lie down." A little bit later, I'll call her to me for love and attention, but it's on my terms, not her's.