They do pretty well when packaged correctly. Make sure you know your vendor's shipping policies: if your animal is DOA typically they'll replace it for at no charge, but you still have to pay shipping.
Caveat emptor, like with anything. Most online retailers--like most LFS--know nothing about keeping cephalopods, and typically anyone who claims to be able to tell you what species you're getting is completely full of it. Most TONMOers don't get our cephs from retailers but rather other hobbyists or direct from collectors who know what they're getting in.