My dog got very overwrought New Year's Eve when people began lighting firecrackers. We went out to our friend's house, and their little dog did likewise.
But she got out something that's called Thundershirts. It's a swaddling wrap that velcroes around the dog, and her pup immediately calmed down!
I'm going to order one for my dog...he freaks out, especially over July 4th at the cabin where Wisconsin cabin owners shoot all sorts of stuff all evening for days at a time.
Thundershirts.com...if you're interested.