Martha Stewart gave a lesson on this once -- I'm sure there are instructions somewhere on her website.
But may I suggest my own method instead? I reach into the dryer, grasp one corner of the sheet, and quickly roll the whole thing up in a big loose wad. Then I carry it to the linen closet, select the appropriate shelf, stuff the sheet in, and slam the door before it can tumble out.
I call this the "Life Is Too Damn Short To Fold Sheets" method.