I agree with not making a big deal of it. When mine were younger I took them out in the rain and exposed them to thunder, rain, and lightning in a safe way. Now it can be pouring rain and they run, play, and lay down in the rain outside. None of it bothers any of them.
Misty- Samoyed Mix, Tannor- Golden Retriever CGC
Robyn- GSD CGC, TC, Midnite-GSD CGC,TC, Brennan-Golden Retriever CGC, Batman-Husky/Greyhound , Apollo-GSD