The freezing method is supposed to work well...but from what I've read, you put the fish into already really cold water with ice cubes and then freeze.
Another method involves an anesthetic overdose. One formula that is very well known is Clove Oil & Vodka. The only reason for the vodka is to help the clove Oil dissolve into the water. Do NOT use more Vodka in hope it will help your fish die faster, it will cause more discomfort. Use more Clove Oil, if anything. Clove Oil is used by veterinarians as an anesthetic to put fish to sleep. Use this and you fish will do just that, fall asleep. Here is the recipe:
First, mix 2 ml clove oil (can be obtained from a
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or health food store) with 8 mls vodka to make a 10 ml stock solution. Place the fish in a container with one gallon of water and add the 10 mls of clove oil and vodka to the one gallon of water, and the fish will just go to sleep quietly with no struggle. Clove oil (eugenol) is used as an anesthetic in fish for surgery, and the vodka is necessary so that the clove oil will dissolve in the water. If your fish struggles, it is most likely because the vodka level was too high. Never raise the vodka level, please. The vodka may come in handy afterwards to wash down the guilt.
You could also use a fish anesthetic called Finquel MS-222. An overdose will peacefully euthanize a fish. You can purchase a small bottle of the stuff for under $10 from Argent Chemicals.