The hot water/baggie method works well when used appropriately. I'd also add that once thawed, heating up the head of the mouse with a hair dryer can help put them in feed mode and gives him a target to strike at when you're "zombie dancing" for him.
You're welcome! A heat lamp may not be necessary - it just depends on the ambient temperature of your room. If it stays at 78+, you don't need the lamp.