Put it in a plastic bag, then put that in a container of nice hot water. Close the bag so you don't get the mouse all wet. Just wait awhile, then pinch the belly to make sure it's warm all the way through.
Haha, I got the soggy rat treatment last time I thawed...definitely make sure the baggy is closed!! (My guy didn't care that it was wet, but it sure made a funny sound when he tried to breathe around it as it went down!)
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I have defrosted directly in water (you end up with a wet rodent) and in ziplock bags. With larger rodents, I have found it alot easier and quicker to put the frozen rodent in the fridge in the morning so in the evening it will be mostly defrosted when you place it under warm water or under a heat lamp before feeding. Be sure to slightly squeeze around the base of the head and the fattest part of the stomach....these two places are usually the last to thaw out. Hope that helps.