I agree with Allen.
 
1) When installing packages, I shoot for late evening OR an overcast, cool  
day, early in the morning.  Any time sun's out, bees get more agitated, and 
 are likely to just beat it back out the door.  If I get pushed by change 
in  weather - starts getting too sunny and warm, I block the entrance with 
grass -  or in my research yard - a bit of screen, which I remove the next day.
 
2) I don't like to use anything on bees when installing them, other  than 
maybe a quick mist of water, if they want to fly too much.  
 
You are installing a mix of bees from different colonies (shakes) in to a  
box that they've never seen before, with a new queen (who may or may not 
have  traveled with the package).  There's not much to keep them in their new  
home.  If you then add anything that can act as an additional stressor or  
simply as an irritant, don't be surprised when they leave.
 
Next time, let them settle in for a couple of days before hitting them with 
 a dusting.  Or dust them in the cage, let them clean up for a day or so,  
before installing.  But I don't recommend doing the two steps at the  same 
time.
 
Jerry

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