Our female border collie was extremely noise phobic. I found that along with a Thundershirt, giving her 3mg of melatonin worked well for her. It can be given up to 3x a day. Google 'melatonin and thunder phobia' there is lots of information available.
I found that Rescue Remedy was just too short-lived, the effects lasting only 15 minutes or so.
Paige was a trialling sheepdog (now retired) and interestingly enough she could work sheep during a storm, and it did not seem to affect her. As soon as we finished, she would start to panic.
Unfortunately, a few years ago, Paige's anxiety escalated to full-blown panic attacks. We arrived home one day to a completely destroyed dog-room door. Our little 30 lb. girl had destroyed her crate, and then chewed and ripped a 3 foot square hole in the door.:E Our other BC was still calmly napping :)
She is now on fluoxetine (prozac) daily with alprazolam (xanax) added during extreme anxiety, and is doing very well.
Margaret