You want to have them kept dark as well to minimize stress - either in the cooler, or in a paper bag, etc.
Also, when you get them home float the bags to match temp, but once you open them you will want to get them out of the bag(s) fairly quickly (30min or less). The ammonia in the bag doesn't cause problems when it is sealed. But once there is air exchange again, it will become a problem. You also want to be careful not to dump the nasty shipping water into your tank.
Either you can just transfer them directly to the tank once the temp is matched, or you can pour a little shipping water out, and add in some tank water a few times (or do a fast drip acclimation) if the other parameters are significantly different. I've heard experienced people who do it both ways with success - some people want to match everything as much as possible, others want to get the fish out and into clean, aerated water as quickly as possible.