Linckias are touchy beasts. Part of the problem is finding a really healthy star to begin with. There should not be any discoloration, tears, or anything that looks amiss about the star. It should look like seastars look in photographs. It is INCREDIBLY important that you test the salinity of the water that the star is currently in before bringing it home so you know it's close to your home system. They are very very sensitive to salinity changes. Acclimate via a slow drip. The longer you can make the acclimation the better. Ask the LFS to provide a large bag and do it in a 5 gallon bucket with an airline tied in a knot. I've done this in the past and let it go for 6-8 hours. Once it's all done acclimating transfer it via a bag to your tank w/o exposing it to air.
Having said all this, it's my opinion (and the opinion of a lot of other folks too) that Linckias are great aquarium stars, and are actually quite easy to keep once settled in and if they're healthy. I've had 2 in separate aquariums, both around 90 gallons, for 3 and 4 years now. I never feed them, just let them scour the live rocks for food. Problem is that they are treated like crap in the collection and shipping process, and they don't tolerate the treatment well at all. Most that I see in stores look ready to die. Pick a great specimen and treat it like a baby, and cross your fingers.
HTH,
Matteo