Okay, well for CO2 I use to use a setup similar to the one at the bottom of this page:

http://www.alysion.org/euthanasia/

It uses vinegar and baking soda so it's very cheap, and you can adjust the size accordingly. Yeast, sugar and water also release CO2 (albeit, at a very minimal rate). There are several other options available online as well.

As for throwing them in the freezer still alive: that qualifies as animal cruelty, which is a misdemeanor in most states, and further more, shows an utter lack of compassion for the animal. Personally, I would not purchase an animal from anyone knowing they chose an illegal and inhumane procedure to kill their prey items.

There is no excuse for using inhumane methods for killing prey items. And using excuses like "Human food is prepared that way" or "Other people do it" is just a silly Red Herring.