"Cog" and "sprocket" can both be used to refer to the entire thing. They've historically also been used to refer to individual teeth, but these usages have poor intelligibility in cycling discussions because they're either archaic or very uncommon with cyclists, and get confused easily with their other usage. "Sprocket wheel" and "cogwheel" can both be used intelligibly to refer to the entire thing, but among cyclists, it sounds goofy. For maximum intelligibility when referring to teeth, "teeth" should be used.