4 mil bags are expensive and not nessecary for 90% of the fish out there. They are nice yes, but not commonly available, where as 3mil bags are great, easy to get and cheaper.
Always do a minimum of double bagging. However if the fish are only gonna be in the bags for an hour or less, don't even bother, just get some of the larger zip lock bags, double them up and your good to go, don't worry about the O2.
If they are in there longer than that, get good bags, do a 1/3 water to 2/3rds air ratio and you'll be fine, some fish you only want to put ONE fish per bag, some you can put a few in there. Depends on the species.