1. We shouldn't "rescue" the dog when there is loud noises. It would only reinforce their negative behavior. That came a surprise to me. Maybe by "rescue" them, they would be more likely to associate the loud noises with real danger.
2. Distract them.
That is very understandable.
3. Make them get used to the noises.
When I saw this thread, this is the first thing I could think of.
I bet most dogs or pets in general would be scared the life out of them by sudden loud noises from firecrackers and fireworks if it is the first time they hear it. It is more scary to them if they don't see it because they really don't know what is going on.
Before I watched the video, I already had this method in my mind to train dogs to get used to the loud noises. You can show them fireworks on TV. Don't start at high volume. Start low, then you may turn up the volume little by little, which allow them time to adapt. By being able to look at the fireworks on TV screens, they can actually get an idea of what is causing the loud noises so it won't scare them because of the confusion. By having the noises start at fairly low volume, it won't hurt their ears and give them a sudden "heart attack". Eventually they can get used to loud fireworks on TV at even higher volume than the real thing. At that point, I don't think they will be scared of the real fireworks.