myszka - Sounds like its definately working for you.
At my fiances previous home, Harley (the BC) used to rip down the fly screens and scratch at the doors and generally freak out whenever storms or fireworks were near. I think it was also heightened because my fiance (before we met) used to let him inside whenever he would begin to freak out, and would make a big fuss of him, which was rewarding his behaviour. The first time I experienced it was when there was a storm during the night and harley broke through the flyscreen and came into our bedroom.
Firstly whenever there was a storm or fireworks, we would bring the dogs inside, and ask for sit, and then give them a food reward. Whenever he began freaking out we would ignore him. He would then settle, and we would ask for sit and reward and if he sat there quietly we would just give him a reassuring pat every now and again. We then graduated to sitting outside and doing the same thing. Its great now because we don't have to worry about him if there is a storm and we aren't home, he remains pretty calm (although he will sit as close to the door as possible). Even if there is a storm during summer when they sleep outside, he doesn't freak out or become destructive.
I like your idea about playing a game with them whilst the scary thing is happening, that would definately work with harley now, but before we did any training, there was little apart from being inside and food that would grab his attention.