Originally Posted by Sheldon brown's site

Removing sprockets without a tool.

With a freewheel or older cassette, the outer one, sometimes more, sprockets are threaded on. Chain whips are usually not necessary to remove them, except on the oldest freewheels which have sprockets that remove to the inside.
Place the chain on the smallest front sprocket, and remove the chain from the rear derailer. A SRAM chain with a PowerLink can easily be disconnected. With another chain, you may have to remove the lower (tension) pulley of the rear derailer to extract the chain.

With the right pedal behind top position (around 10 o'clock), wrap the lower of chain around the bottom of the outermost outer sprocket and the upper run around an inner sprocket. The closer the two sprockets are in size the better this works. Get as much slack out of the chain as you can. If you haven't disconnected the chain, shape it into a figure-8 behind the sprockets.

Now step down on the right pedal, backpedaling. Because the outer sprocket is smaller, it will turn faster and unscrew. You may have to reposition the chain once or twice before the sprocket is completely loose.

Repeat as necessary to remove additional sprockets until you reach a splined sprocket and can lift the rest of the sprockets off. Be sure to keep all sprockets and spacers in order for replacement.