I just did this the other day and swore the whole time I did it! I found a cricket climbing on my shower curtain an hour later! I use a 5 gallon tank for my pinheads but after this might move to a 10 gallon. I found doing the transfer in the bathtub with the drain plugged is the best route since the ones that don't make it into the tank right away will just hang out in the tub until I scoop them up.
Watching my little guys eat 3 crickets at a time, I'm thinking next shipment is going to be the next size up!