What kind of dog is it? In my experience some dogs will not take to it at all, no matter what you do. Example, I have some Jack Rats they have all heard gunfire since they were puppies, even in the womb. The mother isn't afraid of gunfire, in fact she goes nuts when she hears it, and starts looking for squirrels to fall out of trees, but one of the ones I've kept (daughter just had to keep it), is absolutely terrified of it, and hides in the dog house. My daughter also has a Weenie dog (Doxie, Daschund, whatever), and she doesn't like gunfire either. The best thing to do is get the dog to associate gunfire with something to chase, catch, and chew on, get him/her into chasing squirrels, then go get one for them to chew on. After that take the dog with you to get them, but make sure the dog knows the squirrel is there, sometimes they will focus in on the quarry, and not even react to the shot at all. In just a bit they'll associate the shot with "Hey, I'm fixing to have something to shake the piss out of"! Or.................they'll high tail it for the house, and safety. If you do it right though they probably won't mind at all.
Hope that helped, I tried to make it brief.