screwed on, regular threads (meaning turn counter clock-wise to take it off).
I was replacing my trans shift knob so I used a set of vice grips (with a strip of rubber underneath) to hold the stick and a set of adjustable pliers on the knob. This method will mess up the plastic knob so I wouldn't go this route unless you are replacing it.
I had thought about using one of the adjustable rubber strap wrenches (made for oil filters) but I was putting on a new one so it didn't matter how I got it removed or what condition the knob was in afterwards.