I have no expierience in this but the artemia eggs should be pretty sturdy. You can try electroporation. Also, if you are planning to use something to ultimately reach the brine shrims, try yeast. The array of methods in yeast is big and brine shrimps will eat it just as good as artemia.

This will not work. Normally DNA vaccines are attached onto gold particles and shot into the animal at high speed. This delivers the source DNA to the target cell for expression. If you encapsulate the DNA in artemia you will go through the digestive tract of two animals and surely the source DNA will be degraded to the point where it will no longer function. What is the purpose of attempting to use artemia? To get the antigen into the animal early? You must also consider the immune response of early larvae differs significantly from mature animals. 

I think the best method is the one you use