I've been dealing with a very noise sensitive dog myself. Toby is afraid of city noises mainly so de-sensitizing using sound cd's wasn't much help for him, since he could tell the difference between real and fake noises.
Key things to remember are:
1. Always walk with with some really high value treats and praise like crazy for correct behavior.
2. Distraction is key. When there is a scary noise you want to try and keep him from focusing on it. Change directions (more than once), ask him to do tricks, throw treats on the ground or play games with him. Give him LOTS of praise and high value rewards whenever he focuses on you and not the scary thing.
3. Stay calm and relaxed. If he feels that you are tense or worried, he will become tense and worried too. Also yelling, anger and frustration will also make things worse, which is why its important to stay calm and positive.
4. Give your dog room. If something makes a noise that he thinks is scary, like a loud truck or car alarm, try not to pass too closely to it. As he becomes more accustom to that scary noise, you can get closer to it.
Walking him with a thundershirt or something similar is a good idea. I found that it calmed Toby's reaction to noises a lot. As your sheltie starts to calm down he will need it less and less.
I've found the all natural supplement L-theanine to be a big help too, as well as Rescue Remedy.
I hope that helps!