you could also throw them into ziploc bags, squeeze out the air and then soak them in hot water-- usually if they are pre-thawed, and then heated up in hot water you don't get the bursting issues. i would also suggest feeding him in his enclosure so that he feels secure, rather than in a pillowcase...

i have always hot water thawed my rodents, and never have had bursting issues... just use warm water to thaw, and then put them in hot water for about a minute once they are thawed fully, then i quickly dry them with a paper towel and offer nice and hot, and only one at a time...

good luck!