You might be interested in this dvd
, the Superheroes part of which includes teleportation tutorials.
As with most effects, there are many different ways to do it, and which one is best will depend on the needs of the particular scene. The two basic ways are greenscreen and splitscreen. Either way, you need to shoot a background plate (a plate is basically a background without the actors), then a second layer will contain the actor(s) in the foreground. If you add the actors via greenscreen, its easy enough to have them disappear, or teleport. For a splitscreen technique, you need to lock off the camera, so that it doesn't move AT ALL between shooting your plate and your actors. Then you stack the two layers, and when you remove the top layer, containing your actor, the background remains intact.
There are a couple o text tutorials here
on split-screen techniques, which aren't actually for CompositeLab, but the principles are covered nicely. The Tutorials forum also has several tutorials on cloning in EffectsLab, which are all based on the split-screen concept.