Lots of responses about keeping the water cold, or adding oxygen to it. My $.02 is they are mostly the same issue. Cold water holds significantly more oxygen than warm water. A few dozen shrimp in a few gallons of warm water can use up the oxygen very quickly. Also, in cold water, their metabolism slows down, so they use less oxygen. Keep the water cool (not necessarily cold), and put an airstone it. The airstone (the kind they use in fish aquariums) will create bubbles and circulates the water a bit so more oxygen dissolves from the surface. Dont put them in a sealed container (i.e. keep the cooler cracked) so there is plenty of fresh air to supply oxygen. Also, put a piece of burlap or cheese cloth for the shrimp to hold onto. They will rest more, use less oxygen, and be more lively for it. That goes for live-wells and bait buckets too.