I got my first betta (a crowntail) at Petco a few days ago. They had a lot of beautiful specimens though most didn't look all that healthy. I'm quite pleased so far -- quite a nice personality! He follows my hand around fearlessly when I'm doing stuff in the tank and he explores every inch of his 29G. Unfortunately I suspect he's going to eat the RCS I have coming tomorrow, but so it goes.
Anyway that's neither here nor there. I've been feeding him fruitflies pretty much exclusively (and quite a few as he looks scrawny). He loves them. I just trap them in a cup on the countertop (they're endemic during the warmer months around here) and freeze them for a few minutes to stun them, then pour them in the tank. Pretty easy.
You're not going to avoid the moisture when freezing I think. A paper towel along with them in a ziplock bag might take up some of the moisture but they'll still be soggy when they defrost.