IMO, find the fattest healthiest one you can at the store, make sure he's active and see what they are feeding it and if it is actually eating what they feed. In your tank at home, have plenty to pick at on the rock, various algaes and such. Be prepared to feed your tank more than normal and possibly muck it up for the next couple of weeks if you can't get him to feed right away. Have lots of nooks and crannies for him to hide in if you have other fish that take offense to his presence.
Feed the tank often, especially if you don't see him eat any of it. I fed at least 3x a day when I first got mine and for the most part he wasn't really all that interested in eating and later on even when he was, one of the other fish wasn't interested in having him come out and eat. I would feed one end of the tank and while the majority of the fish were busy I would spot feed him in whatever corner he was hiding in. One benefit of feeding so often was that it created algae for him to eat as well
Eventually they begin to feel more comfortable in their surroundings and the other fish will accept him but it can be touch and go for the first part (depending on what kind of fish you have, for me it was a scopas tang being a jerk).
If you get one that has that waffly gut looking thing you need to pump as much food as you can into him to fill him out. I tried to keep mine "full" looking as much as possible and he would supplement that with whatever tasty goodness he could find on the rock.
As for the ick, I would recommend having a cleaner goby (neon goby) in the tank, they are invaluable for keeping ick in check and a more natural way of dealing with it. Mine had a few spots but it never became a problem.
Good luck!