Most people don't realize this, but your bike needs maintenance. Your axle bearings needs to be cleaned and repacked with grease every 500 miles (100 on a mountain bike).
This instructable shows how to repack your axle bearings and install a new freewheel body (if you need one).
Step 1: Remove the wheel from your bike.
If you don't know how to do this much already, this may be too big a job for you at this point.
Step 2: Remove the quick release skewer.
Remove the quick-release skewer from the axle. Take care not to lose those tiny springs.
Step 3: Remove the cassette
You'll need a special tool to remove the cassette from the hub. $6 at a bike shop. You'll also need a wrench to turn the tool.
Step 4: Remove the cassette...cont.
Finally you'll need a chain whip or cog holder to hold the sprockets in place while you unscrew the cassette retaining nut. Once removed, the cog stack will slde off the freewheel body effortlessly.
Step 5: Remove the axle
Here is the freewheel body and axle in place.
First remove the jam-nut and washer from the axle then remove the bearing cone nut. This holds the bearings in place.
Step 6: Remove the bearings
See the bearings within. Remove the bearings and clean everything till it is absolutely spotless. Aerosol brake parts cleaner works very well for this and only costs $1.99 at your local auto parts store.
Step 7: Remove old freewheel body
If you're just greasing your bearings, SKIP THIS STEP!
Insert appropriate sized allen wrench into freewheel body and unscrew. Set aside the old freewheel body and place the retaining bolt with all the other stuff you need to clean.
Step 8: Clean everything.
Clean the cogs, axle, cone nuts, washers, jam-nuts and especially the interior of the bearing cups in the hub. If you see any residue of any kind, you need to clean some more.
Step 9: Replace freewheel body...cont.
Unwrap the new part. View the instructions and take whatever action you see fit. Personally, I found the instructions insulting. They essentially said: "Be sure to install the part correctly." in 8 different languages, but didn't say exactly HOW to do it.