This is what I've heard...I've never tried it myself:

Put a chunk of dry ice in a small container. Set that small container inside a bigger container that you can put a lid on. Put the mice into the bigger container around the one with the dry ice. Seal the top container and the carbon dioxide that the dry ice gives off will suffocate the mice. You may need to pour a little cold water over the ice to get it going before you seal it...I'm not sure.