Note that if you don't pull out the Direct Drive Pin (in the side of the bull gear) but engage the back gears, this locks the spindle and is the factory recommended way to routinely remove a chuck. But it is NOT the way to remove a stuck chuck, as several people have already said. The back gear locking device being sold on eBay, however, is safe to use as it engages several teeth at once. and does not depend upon the direct drive pin and the rest of the back gears to lock the spindle. Basically, if you break off several teeth with it, the gear was scrap anyway.
To use it to remove a stuck chuck, first apply penetrating oil by whatever means to the chuck and spindle threads and let sit for a few hours to a day to give the penentrant time to work. Obtain a short (around 6") length of hex stock (for a 3-jaw or 6-jaw) or square stock (for a 4-jaw) that will just fit through the hole in the center of the chuck. Insert the stock through the jaws and deeply enough into the chuck to engage the jaws fully. Tighten the chuck jaws onto the stock. Rotate the spindle until you can fit a hex wrench or key into the set screw that locks the bull gear to the Woodruff key in the spindle and loosen the screw. Install the bull gear lock and turn the stock in the direction to loosen the chuck. While holding tension on the stock, re-tighten the screw as you normally would. At this point, what you do next depends upon what wrench you have to break the chuck loose with and how you plan to turn it. My preference would be a 3/4" square-drive socket, breaker bar and cheater pipe. And the above assumes that the lathe is securely anchored to the stand and the stand anchored to the floor.