The cranes are designed to be easy to dismantle. For bigger cranes, they'll actually bring up a smaller crane which will be used to lower the parts of the bigger crane.

This has a few more details and links:

http://www.ehow.com/how-does_5787150_cranes-removed-sky-scra...

But how do they get THAT crane down?

With a series of progressively smaller cranes until finally:

http://farm3.staticflickr.com/2610/3699889213_30575a56d0_m.j...

With a pocket one, obviously!

turtles, all the way

The shaft of the crane becomes the elevator shaft and they break off the top and move it with another crane.