I thaw my pinkies out in warm water. I like to give my snakes a warm meal and I think the thawed pinky absorbs some of the water it is thawed in. This helps to hydrate my snakes in a roundabout way. I also think the scent is greater on a wet mouse then a dry one which might help in a more aggressive feeding response.
Just my opinion.

How do you thaw your mice and why?