I've posted this in more detail in other threads, but...
I have a yappy little terrier that sleeps in the bedroom with us. I decided that instead of ignoring him when I know that it was just a headlight in the cul-de-sac that woke him up, I'd put on the amplified headset, get the flashlight, put the HD pistol in my pocket, pick the dog up (to keep him from running downstairs and making me wait for him to get back) and check things out from the top of the stairs. He doesn't make a fuss if the headlights have gone, but did keep up a steady growl one night. I let him run, and he dashed out the doggie door and chased a fox away. I always pet him and praise him when something makes him take notice. I don't want to punish the protectiveness out of him. In the meantime, I've practiced gearing up, getting the headset powered up, making sure that the HD pistol is with me, and having the flashlight ready. My wife thinks I'm nuts, but I've gotten better over the few months that I've been doing this. Also, the dog has turned in fewer alarms as he's gotten used to just sleeping in the room with us.