Don't get them at Petco. I've been having a hell of a time with them. Petco's are wild/farm caught which is to say they aren't transitioned to tank life and feeding.
Wild - really hard, you have to cater to their eating habits, and really skittish.
Tank raised - Essentially wild but acclimated to tank life.
Tank bred - the best! also $$$
Get em from Rachel Oleary, she gets em wild and get's them used to domesticated life, or some other tank raised or bred seller, Aquatic Arts claims to have tank raised. Wish I could find someone that breeds them in a tank (Well, LRBretts does this but I don't think he sells em on his site and it didn't look like he had tons).
I keep em with my shrimp, but I hatch and grow the shrimp separately to a month before putting them together.
In my experience, the nitrite part takes twice as long as the ammonia part. I've pretty consistently gotten a cycle to 2ppm ammonia daily in ~3 weeks. I don't think that much of a cycle is needed for shrimp tho. In fact it's a huge waste of time to get all the way to 2ppm daily conversion to nitrate if all you do is add like 10 shrimp in the end. Your bacteria will just die off to the level of ammonia that the shrimp will produce.