i actually just had to do this with our male mojave last night.

what we usually do it put about an inch or so (depending on the size of the snake) of water in the bathtub, and let the snake swim around. it's great exercise, and really helps with the stuck shed. after about 10-15 minutes, we take the snake, and a damp towel, and run the snake through our hands. the skin really just rolls off nicely this way.

OBVIOUSLY we don't just leave them swimming around in the bathtub and walk away, i sit on the side of the tub and watch, 100% of the time. not only to prevent drowning, but also to prevent escape.

i've never tried the pillowcase thing, because i don't have any extra pillowcases laying around. but i kind of like the bathtub method because it's good exercise, works well, AND i like to take pictures of them swimming!