Masking tape (painter's tape) works best, you just have to cut small pieces and apply them to the crystal and the bezel until you have them all covered up, it takes about 5 times as long to apply the tape then it does to actaully polish the chimney (that's what the thin piece of metal between the crystal and bezel is called).
Make sure you do not polish the crystal with the cape cod's, it will remove the anti-reflective (AR) coating and it will look like crap!
When you are done polishing just peel the tape off. I have found that it you are careful and use your finger tip you can get away with polishing the chimney without taping the bezel, you just have to be careful.
Here is a post showing a photo of a watch with the tape applied.
viewtopic.php?f=6&t=22456Sparwood