Honestly, he's not wrong. Like Mike said above, pithing or any sudden destruction of brain matter is probably the least painful way to go. Much faster, less painful and less stressful than freezing or CO2.
But I'm sense OP isn't one who would be okay with doing something like that, the vet is probably the best option. I hate situations like these because as people we want our little buddy to hang around longer but we shouldn't do that at the expense of our little friends suffering. I feel for you, it's not a nice place to be in.
Best of luck.