[Python] Speed up this code?

[Martin Kelly]

I'm creating a program to calculate all primes numbers in a range of 0 
to n, where n is whatever the user wants it to be. I've worked out the 
algorithm and it works perfectly and is pretty fast, but the one thing 
seriously slowing down the program is the following code:

def rmlist(original, deletions):
    return [i for i in original if i not in deletions]

original will be a list of odd numbers and deletions will be numbers 
that are not prime, thus this code will return all items in original 
that are not in deletions. For n > 100,000 or so, the program takes a 
very long time to run, whereas it's fine for numbers up to 10,000.

Does anybody know a faster way to do this? (finding the difference all 
items in list a that are not in list b)?

Thanks,
Martin