My dog is afraid of storms?

I have a female Yorkie I got her when she was 2 years old. She is very happy and loves people but when it comes to storms that is a different story. I don't know what to do to calm her. When it storms she paces around my bedroom and paints. She will do this until the storm stops. She has a crate but she has real bad separation anxiety. Does any one know of anything they use for their dogs that might work for my baby?