I also have a little dog that was very nervous around thunder or other loud noises. The best thing to do is to stay relaxed because you can send a signal to your dog if you are afraid of thunder yourself. Your dog may feel that being afraid is the right thing.
Stay calm and assure your dog that everything is okay. Don't make a big deal out of the noise. Just go about your business and ignore your dog's shaking or nervousness. Treat your dog like any other day.
This took some time, but my little dog will now go out and do her business with thunder booms and firecrackers. Every once in a while, she will jump into my lap if there is a very loud boom but I just start petting her like that is what she came up for. I don't baby her at all.