Im all with you Mite
The worst thing would be to go to a gun range, and get the dog terrified and then leave before it calms down. That would really teach the dog that gunfire is terrible and that he was lucky to get away. We want a slow and gradually approach of the noise (whether its a gun range or a cd playing with recorded gun fire). It is also important, regardless of the method used, that the training is done often. Or the scare will get recharged between sessions like with any phobia treatment.

I like the gun range method since there will be frequent gunfire at a controlled volume (with the distance) and it only requires one person.