When you leave to go fishing try wrapping them up in newspaper and keep them cold in the chillybin to thaw out as slowly as possible. As they thaw the paper absorbs the water which is usually responisble for the mushiness.
I'll usually take a few out at time while fishing and they're nice and firm. Sometimes they're still close to frozen when I've gotten home so they go back in the freezer.

Also I like to check the quality of the pillies before buying. Pillies caked in ice have usually been sitting around for too long, another thing to look for is pillies with broken skin and yellow looking flesh, these tend to be mushy and the blood loses it's colour.