When I bought my peacock mantis, they bagged it with a black bag (so it couldn't see/be disturbed), then they put 2 more bags around that. I put the bagged mantis into a small styro cooler--then had to listen to her "thump, thump, thWACK!" all the way home! She did fine though.
An aside: when I had to catch my mantis (was relocating her tank), I put a piece of 2" pvc with a cap on one end into the tank then removed the LR one by one. She took refuge in the pvc and I was then able to move her into the bucket w/o either one of us getting hurt.