Best way to handle large lists?

[Chaz Ginger]

I have a system that has a few lists that are very large (thousands or
tens of thousands of entries) and some that are rather small. Many times
I have to produce the difference between a large list and a small one,
without destroying the integrity of either list. I was wondering if
anyone has any recommendations on how to do this and keep performance
high? Is there a better way than

[ i for i in bigList if i not in smallList ]

Thanks.
Chaz