I like every body's suggestions.
I can do this since we don't have a lot a thunderstorms
and my dogs are in-house trustworthy.

My dogs get scared, unless they are inside.
If I am home, I let them in the house,
ignore them and go about my business.
If I have to go out and if the weather man says
thunderstorms, I let them in the house and leave.
Before Rocky, I use to leave my female outside, and
she tried to claw/bite through the back door.
She ruined a brand new wood door, yet inside the house
neither dog will damaged anything.
This works for me, but I realize might not work for others.