I've been dealing with this all summer, as one of my dogs became extremely stormphobic in the last year.
Personally, I think it's good not to do anything that will add to their perception that there is something scary going on, but at the same time I think staying close by while acting normal is fine.
There are lots of things you can try to help calm the dog's fear of thunder, and I would strongly recommend that you work on it now, rather than allowing it to escalate.
I know a few people who have have success with Quiet Moments, a herbal anti-anxiety formula or Holitistic Blend Herbal Calmer for Pets. Melatonin is also used for fear of storms. I think with all of these though, they are best used along with behavior modification.
Here is a good article on storm phobias in dogs:
http://www.dvmnewsmagazine.com/dvm/a...36493&pageID=1