Since you're in the city, a .22 is out of the question.
I've live-trapped squirrels before.
I just got a tupperware container, a stick, and a handful of sunflower seeds. Spent an hour or so feeding him seeds (don't feed them a lot, you need them hungry) to build his confidence around you. Then, set up the trap and ~5 minutes later had me a squirrel.
For motives sake, I'll explain: He'd gotten a nylon fishing net wrapped around his neck, and it was shriking with the wet/dry/wet/dry so would have eventually killed him. He had pretty deep, nasty scars from it when I finally got it cut off him.
Founding member of the Leave-Me-Alone-atarian party of Canada.