Not my video, and not a gear, but very similar. Cutting of an escape wheel on a watchmakers lathe. In this one the cutter is powered by the lathe spindle, and the blank is mounted to an arbor that is mounted in some sort of fixture riding on the cross slide. It also shows him preparing the blank.
[video=youtube_share;Zz8UyKsQkik]http://youtu.be/Zz8UyKsQkik[/video]
One question I have is, are you trying to cut the wheel (the larger, driving gear), or the pinion (the smaller, driven gear). Wheels are typically brass, and fairly easy to make (check out Hugh Sparks' page for more info). Pinions can be tougher as they are usually steel (they see higher forces, and more wear). A lot of people make lantern pinions, which are similar to construct.
What kind of accessories do you have for the lathe? That more than anything is going to determine what options you have, as there are a number of ways to do it.