On cnc mill? Gears or sprockets? And what is the best way to cut each one? I have no clue, so any help would be appreciated.

I've never machined either a gear or a sprocket on my taig, but i'd imagine that making a sprocket would be the simplest. To the best of my understanding a gear would require a specialized gear cutter and rotary table or indexing head, where a sprocket could be machined simply with an endmill and a single flat setup on the x-y table, no need for an A-axis.

Machinery's Handbook has the geometry for sprockets.
Fairly easy to create the correct shape in a cad package.
If you like hitting your head you can generate with Lisp.
In Google serarch for 'sprocket lisp'. Plenty of ready made programs/plugins are on the net.

Using CNC it *might* be feasible to cut the part as a 2D profile, but it may require a very small end mill (1/16" or less( depending on the gear size. The easy and best way for either a gear or a sprocket would be to use a rotary table.

A sprocket can probably be cut with an end mill or woodruff-type cutter pretty easily if precision is not required, but something like a bicycle sprocket is just as complcated as a gear. Gears require a precise tooth shape or profile to mesh correctly. The most common type are called "involute" gears and there are several ways to make them.

One is to buy a set of involute cutters which look like circular saw blades with a precise cross-section. It takes a set of 8 cutters typically to be able to make a full range of gear tooth counts and they cost $10-$25 per cutter. The other way is to use a hobbing cutter AKA "gear hob."

One hob can make a gear with any number of teeth in a given pitch size. Commercial hobs seem harder to come by than involute cutters but you can make a hob yourself pretty easily with a lathe and mill--it's basically something like a plug tap. Smartflix has a video called "Making Gears the Easy Way" which takes you through all of these different processes including the math.

Gears these days are also made using wire EDM but that is a whole 'nother ballgame (nuts)