This is the reason why when I buy sand sleeping wrasses, to make sure and ask the LFS when bagging them up, to put some sand in the bag with them. Most will kindly oblige me, and often ask why. When I explain the shipping stress, they often agree with me, and start sending sand sleeping wrasses home with some sand in the bag. I have personally changed 3 LFS I frequent to sending sand sleeping wrasses home with sand in the bag. Of the three, 2 have commented how much less loss that has been reported to them when shipping in this manner.
Not sure shipping in the mail with sand would help, as the boxes get tumbled around quite a bit, but bringing them home from an LFS where the bag doesn't get jostled has helped me a ton.
Might be something to consider next time you buy a sand sleeping wrasse at the LFS.