Well, my Buddy isn't crazy about thunder, either, but doesn't go mad either. One thing that we do for Buddy, might help your lil fella too, is this: We close all windows, all drapes (to block lightening flashes) and turn up the tv's a lil louder than usual to help muffle the thunder. We turn on fans, overhead exhausts, etc, anything that could help muffle the sounds outside.
And we play with him, if he will play. We talk to him in calm, bored voices and tell him we are not worried at all, not at all. (we pretend he knows our words)
We praise him for playing and get his favorite stuff out, and play. But every dog is unique. Yours might be happier under a table with you nearby. I've heard some dogs get so freaked out for thunder or fireworks that they need medicines from the vet. Is pretty common problem, this is!
Somewhere around here is good thread with some specific advice i got about the difference between "soothing" a nervous dog, vs. rewarding/encouraging the nervous behaviour. Even i was able to understand the difference after they explained it...
If i find it, i'll tell you where it is..