I can tell you what doesn't work: putting them in a regular evelope and trying to send them on the cheap. This has failed once for me and there was a failure in a shipment from Canada on a recent swap.
I now use a small padded envelope with the flies going in a cardboard box. This whole thing goes in a tyvek envelope to be shipped out. I've had no problems with this method.
The next swap I run I plan to discourage sending in a regular envelope. It isn't worth it.
If you can afford it, priority mail in a tape box is best.