I thaw mine out overnight and set him on a small spare heat pad I have for a bit before feeding. I've also been told warming up by holding the mouse's head right next to a light bulb for a few seconds or using a blowdrier all work to warm up after thawing, too.

A tip Kara gave me is NOT to thaw a mouse out on its stomach or to heat it on its stomach for long, as the stomach wall lining is thin as (as you experienced) prone to bursting.

Auryn's been eating fine for a few months now on F/T--and no exploded mousies yet