If I have to buy live, I whack them. You can hold the rat/mouse by the tail, and with a quick HARD flip of the wrist or even a swing of the arm, whack their head against the edge of a surface...in my case a concrete porch. Lights out immediately, no suffering. Broken neck beats suffocation any day. And it's VERY rarely bloody.
Also if it's bigger rats, med to larger, I have a 2 ft round wooden dowel, about 3 inches in diameter. I just hold the rat by the tail, and whack it with the dowel right behind the ears on the neck. Same results.
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