Generally speaking, most smaller-capacity (under 16GB) sticks are formatted FAT and can be read and written to by both machines, so the format isn't an issue.
Large sticks sometimes are written NTFS by default so they can handle large individual files. Those sticks need to be reformatted for Mac (for exclusively Mac use) or FAT32 (for both Mac and PC use). FAT32 format limits individual files to a max size of 4GB. Other than videos, this should be enough for all other file types without issue.
To answer how to do this, I just open iPhoto and adjust the window size so I can see the right hand part of the desktop. Then I insert the USB stick and wait for it to appear on the desktop. Then I select the photos I want and drag the onto the USB stick icon. Once copied, I select the USB stick and right-click and select "Eject"*. I wait for any lights on the USB stick to stop flashing AND the icon to disappear from my desktop before removing it.
*There are several other ways to do this, but that's the way I do it.