The Bluebook doesn’t offer a lot of assistance when it comes to citing McKinney’s practice commentaries, so it is best to use the format from the New York Law Reports Style Manual.  The citation (for legal documents) looks like this:

Donnino, Practice Commentary, McKinney’s Cons Laws of NY, Book 39, Penal Law § 125.00.

<Author’s last name>, Practice Commentary, McKinney’s Cons Laws of NY, Book <book number from spine of book>, <subject> <statute section>.

If you are citing the updated practice commentary, the citation looks like this:

Donnino, Practice Commentary, McKinney’s Cons Laws of NY, 2011 Electronic Update, Penal Law § 250.45.

<Author’s last name>, Practice Commentary, McKinney’s Cons Laws of NY, <year> Electronic Update, <subject> <statute section>.

One piece of information missing from the practice commentaries on Westlaw is the book number from the spine of the McKinney’s book volume.  Click here for a chart containing the book numbers for each of 90+ subjects in McKinney’s.