Have you seen the mikeselectricstuff youtube channel ? He did a teardown of a credit card reader. The "self wipe" functionality is implemented in a fairly simple way.
To OP, those devices are not cheap - they run $22k from SafeNet (dependent on what model, obviously). In addition, FIPS criteria is meant to be tamper evident (not tamper resistant). SafeNet does require a special key to recover after a tamper attempt, though: http://goo.gl/RyVtFj
Credit card readers get scored on how hard they are to attack, and pass above some threshold based on difficulty of attack and time taken.