We put our dog out of the room if we start, as he can get a bit curious!!
I agree with Libby above, when we first got our puppy, I created a little puppy cave for him to feel secure in, gave him a pillow to cuddle into, tried the hot bottle trick inside it so he thought it was a pack member, overall made it as soft and comfortable as possible, it was in a different room and he settled very quickly.