We get God Awful hail here too and I put my horses up in their metal barn with the metal roof. Most of them are old troopers, so even the new or young horses tend to calm down after the initial, "OMG WHAT IS THAT?" reaction. The first few times the older ones ever heard it, they got a little big eyed but especially after being in through the whole storm and the noise didn't kill 'em, and after getting caught out in it, they all come running for the barn now. It's pretty funny to see one teensy little hail stone hit one and then they all come flying with their tails in the air. I guess the noise hurts their ears less than the hail hurts their hides.
If I have the time before the storm hits, I put a bunch of hay in their feeders so that they can much on hay and distract themselves from the noise. It really doesn't take them long to figure out Barn = GOOD and Hail = BAD. For one thing, at least here in OK, I've noticed most really heavy hail storms are almost as loud outside as they are inside, they just don't get pummeled inside.