Place your left elbow on the counter or table with your forearm running vertical to the playing surface. To better visualize this, imagine resting your chin in your hand while leaning over the counter.
With your right hand, rub the penny against your left arm, almost as if you're going to rub it into your arm. Drop the penny once, say "oops" and pick it up with your right hand and resume rubbing.
Drop the penny "accidentally" once more. If you drop it on the floor it works best, because then you have to move to pick it up. Pick it up with your left hand this time, pretend to put it back in your right hand and then resume rubbing.
After a few moments, pull your right hand away from your arm and the penny will be gone. The observer will think it was in your right hand all along, when in reality it was in your left.