Teddy's new fear

Teddy now seems to be afraid of rain and thunder. I don't remember him having this fear before, but for the last 2 weeks, whenever we have rain or thunder, his tail goes down, he paces, pants, and follows me even more closely than he normally does. It doesn't help that I have sky lights in 3 rooms, which amplifies the sound of rain. His obedience trainer suggested getting sound effects of thunder and rain, and using them to desensitize him to the sounds. I checked out some CDs from my local library, and played them one day. It had an immediate effect on Teddy - he didn't like it one bit. I tried to play with him, and give him treats, but he kept focusing on the sounds coming from the speaker. Over time, as he reacts less, I will turn up the volume, and hopefully I will be able to have a violent thunderstorm in my living room and Teddy will not react. It is very disconcerting to hear a thunderstorm in my house, while outside it is bright and sunny! We've had so much rain this season that it is very hard for me to put the sound effects on when it is nice out. I'm so tired of the sound of rain!