We have a greyhound, and now, so do my parents. For our boy, we just try to act as if nothing unusual is going on. When we had the tornado warnings about a month ago, that was really hard to do. Luckily, we had a load of laundry in the basement that needed to be folded, so we all went down there. We got down there just before the hail and thunder started. This storm was so strong, that it was only the 2nd time I've chosen to get off the first floor. Distraction has seemed to work thus far. Mom and Dad had severe storms 2 weeks ago, and theirs was shaking quite terribly. We hope that his confidence, with them as "pack leaders" will grow.
Ours didn't really like the 7/4 fireworks last year, but we just made sure that at least one of us was nearby (doing whatever-reading, cleaning, etc.). That being said, he was really interested in the comfort of his cage.
We also bought a spray of lactating female pheromones, which seemed to help calm Max's nerves after we got him. Greyhounds find so many things foreign that other dogs are used to.
I'd agree with talking with your vet. Different drugs can have different effects on different breeds. (greyhounds, for example) Your vet (or perhaps a pharmacy vet specialist) should be able to steer you to a medication that is safe for your breed.
Best wishes!