I think it depends on the circumstances. With Zekers, I let him come and be close to me, but I'm not going to pull him to me and wrap him up in my arms if he's uncomfortable. He can look to me for reassurance and comfort, but I'm not going to ask him to...if that makes sense. What we're working on right now is teaching him that everything and everyone in the world is a tennis ball dispenser! He's improving with strangers in leaps and bounds. The shopping carts aren't quite as bad anymore but still scary. It really wasn't until a few months ago that I found this fear of shopping carts. We're also learning to generalize---EVERY tennis ball is fun(and occasionally, even some non-tennis balls!!) not just his tennis ball.
Z's fears used to make him incredibly nervous and he'd be in my lap in a split second. So snuggling him in that sense would not be a good idea....he had to learn that fear didn't mean LEAP INTO MOM'S LAP NOW EVEN IF SHE HAS HER HANDS FULL OR A GIANT COKE IN THEM!! Now he'll just snuggle up close to me. We usually just start some tennis ball fun to take his mind off of it and he opens right up and is happy again. With Mud's storm anxiety, she's always just kind of glued herself to me. That's fine...I do currently and have always used TTouch massage techniques to help her relax during storms. When I first got her she would just freak out, pace through the house, pant uncontrollably, and generally just be a basketcase. Now she's completely calm through storms but still comes to snuggle me. She'll just lay beside me or at my feet for the whole thing and when it's over she's fine. We've trained several times during the storm and she did wonderful with that too. I think if you CALL the dog to you to cuddle, then yes, you could be reinforcing their fear. For instance, if thunder boomed and I hollered in a panic, "MUD COME HERE BABY!!!" And picked her up cooing nervously, "It's okay, it's okay, it's okay...." Then yes, I'd be teaching her that storms are incredibly SCARY and she needs to flee to me everytime we have a storm. But if she comes to me and I pet her I don't think that it's actually reinforcing it, just helps her relax.