There are many different ways to thaw out rodents including, room temp. thaw, spot lamp, water thaw, small fan, heat fan. 

The best method I have found and use is to air thaw on newspaper or better yet hardware cloth (hard wire mesh) suspended above the newspaper. This hardware cloth elevates the frozen rodents so the moisture can evaporate and you get nice and dry rodents to feed your reptiles in the morning. This is a lengthy process, however the rodent's aren't going anywhere, so just let them sit and go run some errands until they are ready to be fed. You can also use a small fan to blow air over the frozen feeders to help speed up this process, which works fine.

Some people also soak in a tub full of warm water, however, that makes a big nasty mess of soggy feeders.  

A spot lamp or heat pads are undesirable because this process will slowly cook the inside guts, causing the feeder to rotten from the inside out very quickly.