I have a gun, but if you haven't got one and you don't want to drag a suffering animal all the way to the vets, the only way you can kill it quickly without a gun is by slitting its throat. Not nice, I know, and I wouldn't reccomend it if you don't know what you are doing, but when the alternative is trying to drag a maimed animal to a trailer/truck and then drive it 1/2 an hour to get it euthanaised, its definitely the kinder option.
I know of shepherds who will do it where footpaths are close, because of a (perhaps misplaced) fear of 'anti' types witnessing a sheep being shot and then complaning etc, as it is, at least, quiet.