i am no behaviourist, but I have had to leave my pups on occassion (When dreaded work can't cope with me working from home!

They haven't had huge problems with us leaving, but they have been a bit destructive on occassion. My best advice would be distraction. I never let them see me leave the room. I use a kong (you can buy them in PAH) or any safe toy you can stuff full of goodies.
Basically, I use wet puppy food (you don't want to overload them with rich goodies and as they normally eat dry food, so it is a treat), and stuff the toy. i then freeze it overnight. Also a treat ball (the ones that they have to roll around to get treats out) are a great distraction. The frozen toy can last for ages and takes their mind off you going. i found them to be very effective. Obviously, these toys are not designed for the pup to be left for long periods unsupervised, so just be a bit careful.
I'd suggest perservering with an intense training session using a kong with the puppy kong paste first off (we,t sludgy, chicken liver paste... my two absolutely love it). You can apply a small amount and distract you pup whilst you leave. Keep increasing the time you stay away for and hopefully, it will get better. My thoughts would be to nip this as soon as you can. You really must try to leave your entrance until they are quiet. Difficult, I know, but you amy be reinforcing the behaviour. if you absolutely must go in, then i would suggest ignoring your doggy until they have calmed down a little. At least, they wont get any fuss when they are behaving excitedly.
If you really want to go mad, my vet sells air freshners (plug in types) that release an anti anxiety whiff. It is supposed to help them relax, but I've never tried it...
I hope it works and good luck!