Liz, I've heard of those, and also that putting a t-shirt on a dog will lessen their anxiety during storms. I dont know if it works, when Star gets anxious, if I get her to lie down where she can't actually see the storm, she quiets down.
On a less serious note, I'll post this link to "Meeshka's World", (one of my favorite sibe's blogs), if you'd like to have a good laugh over "anxiety wrap" from a Siberian's perspective. :D Great cartoon! Meeshka also has storm anxiety, so the topic comes up on her blog once in a while.
Meeshka's World