Agree with baby steps. We made the crate a reward and respect the crate as her space. Now we don't even have the door on the crate.
Our girl has issues with fireworks. We have had great success with a product called Bachflower. They are herbal supplements available at health food stores. You look up the issues (anxiety, stress, fears) and use the supplement to help it. We put the drops in her water and have seen vast improvements. Beware you can go to specialty shops and pay big $$$. We found them at NeutritionSmart and mixed them myself and saved some bucks.