continuing with F30 works fine, just add a little rudder and some extra thrust on the remaining donk and land. To me it seems the more comfortable and indeed sensible method to executing an immediate go around. As you say, the majority of people would continue the approach. It isn't necessary to go to F15 as this will induce an initial sink. Just react to the failure and don't rush it. Go arounds should be practiced as well. Our last RST covered both.
F40 is a different kettle of fish as this requires a configuration change to F15, ensuring manoeuvre margin (white bug) and flap inhibit.
Approach it as a handling exercise to show the capability of the aircraft with an engine failure at short finals with F30 extended. It's not an overly taxing manoeuvre as the aircraft has excellent controllability. Just follow the correct technique with gradual rudder application (in accordance with initial thrust decay and gradual thrust application on the live engine). If it is short finals, then the approach is predominantly flown by visual reference at this stage. This makes it easier. Possibly start 3 miles from the threshold with the A/P still engaged and go through the method of controlling the failure and maintaining a stabilised approach. Then throw in subsequent failures progressively closer to the threshold in manual flight. Practice go arounds from Flap 30 as well. Once the crew is happy, introduce Flap40 approaches. It's a real confidence builder in my opinion. Any previous misconceptions regarding engine failures on final approach should hopefully be removed.