Whatever you decide to do, just take your time. It is infinitely harder to undo things while dog training. I noticed that while training my female Gordon that she was fine in the field with shooting when there were birds involved, but spooked by any shooting(also thunder and fireworks)when we weren't in the field. I just chose to keep her out of any nonhunting situations involving gunfire when I could. I'm sure each situation and remedy is different.
Good luck with your dog.