I use the choke method, like asfazrq suggested, or when completely stopped, I let the clutch out with the engine idling (hold the rear brake on). Either way will stop the engine.
I see two problems with disconnecting the spark plug wire from the spark plug.
1. Zapping the heck out of yourself.
2. CDI ignitions are not very tolerant of having the high voltage generated inside them and no place for it to go. After the wire is removed, the engine will still spin until compression finally stops it. This can be 10 or so revolutions. Each revolution will generate high voltage inside the CDI and it will have nowhere to go. This will cause back feeding into the electronics and lead to internal insulation breakdown inside the CDI box
and it will eventually fail.
In short, it will work, but reduce the lifespan of the CDI box.