I do it the way Orangeus suggests. Just thread the waste yarn (a smooth cotton yarn is perfect, but most anything will do) through a tapestry needle. Then holding your needle with the stitches on it in your left hand begin running the needle through the stitches. You can do quite a few at once. Then pull the yarn through and do some more until you have done all you need to do. You can then tie the ends of the waste yarn together so the stitches can't fall off, or just leave a generous end on each end and they will stay put.
I like using the waste yarn over the stitch holders myself. The stitch holders are unyielding and get in the way and the yarn holder doesn't. They also allow you to see how your project is shaping up better.
When it's time to put them back on a needle it helps to use a small sized needle and just feed it through much like you did with the tapestry needle. Then knit off in the size needle you need to use.
Whatever you prefer. Just thought I'd add my $00.02.