I find the best way is to snip off their heads with poultry shears, have a bag in place to catch the head and the few drops of blood. I do it in my basement sink. I have tried several other ways but find this is the easiest on both me and the chicks I think.
I think pulling their head off is the quickest and easiest for tiny babies. For bigger ones I usually stomp on their heads or hit them with a hammer or club of some sort.
It's sad, but necessary sometimes. I would NOT pay a vet to put them to sleep...