penny you can make CO2 simply by mixing baking soda and vinegar. or go to a paint ball supply store and get it there. but for crying out loud folks do it outside and not in a closed room. You dont want to put the whole family down. Anyways i have used this method several times successfully to...
here is a link for you folks who cant do it in a physical manner. Meaning cut the head of or break the neck. Again it is meant for killing mice and rats , but it works for all small animals
http://www.alysion.org/euthanasia/