I have bought some mealworms from the Wormman before, and I had my great little setup, to make more mealworms. They came in just fine even not refrigerated. I was feeding bearded dragons, sugar gliders, and my cat loved them too. (yes, I know, weird cat!).
From what I know about them, check each supplier carefully, make sure to read the shipping FAQS on each supplier's site, and over all, do what you would do to get anything live. Double check what is said on the site with what you get.
Also you don't need to shake them around a bit. Just pull out their little container and let them warm up a bit. They go dormant when temps go low, so they just need to warm up a little before becoming active.
Hope this helps, M.