Different schools do it different ways, often in cooperation with local law enforcement. Some do things like playing gunshots over a speaker somewhere in the building, others do different things. Most are the kind of activity that can mess people up in perhaps-unexpected ways—and again, that's the adults, let alone kids. There have been some cases of schools & police going way overboard with these things and doing much worse than playing some fake gunshot noises, and those have gotten some press (I think some are on YouTube?) but I don't think that's common. Regardless, even the more "normal" versions are pretty bad.