Stomatopods as Pests

What do you do with a captured mantis shrimp?

Keep it as a pet in its own small container (highly recommended) - they are alert, tough, easy to care for, and many are also colorful.
Sell it to a local fish store if possible, or sell it to another aquarist. Post on the web if needed (eg. rec.aquaria.marketplace). Highly recommended.
Kill it
1. Stick it into a dry container and leave it there - very, very strongly discouraged.
2. Feed it to large fishes such as triggers. Make sure there is a large size discrepancy here or the eating will go the other way around. In one reported case, a pair of Odontodactylus scyllarus killed 6 Clown triggers in a single night.
3. Coldkill it - Place a container full of water into freezer. Check to see that water is near freezing. Drop crustacean into the container. Keep frozen for awhile. Serve frozen, with strawberry on top (just kidding!). Please note that there have been some reports that claim this is also an inhumane way of killing fishes (although they did not mention invertebrates).
4. Smash animal quickly and completely to minimize suffering (not kidding!)