It's vital to get them off ASAP as the risk of infection from Lyme Disease increases after the first 24 hours, but the list of ways NOT to do this is probably more important ;-)
Don't burn it, squeeze it, twist it, or cover it in alcohol/wax/marmalade/whatever.
And -contrary to the accepted answer- if at all possible, DO NOT use tweezers: you need extreme care not to separate the body from the head, or to make the tick vomit it's supper back into you.
Instead I carry a pair of the O'TOM Tick Twisters in my first aid kit. Practically zero size and weight, and they have worked flawlessly every time, even on the tiniest ticks.
Good advice re. Lyme Disease and Tick Removal here:- http://www.lymediseaseaction.org.uk/about-ticks/tick-removal/
Note that contrary to the name, the tick isn't actually 'twisted' off.