When you've got it all set up and are about to put the hamster in, scatter some food around. Normally the hamster is so busy gathering up the food that the stress they experience is lessened a bit. Oh, and make sure there's plenty of nesting material in there!
Try and keep the set up fairly similar and don't be tempted to add lots of new toys, the old ones will smell like home and make the transition more comfortable.
Oh, and use POLAR WHITES tip, it's really helpful