The friends/list method is one way to go about this. It provides a cursored collection of user objects, but only a very small amount at a time. You have to make several requests to collect all the user objects. You can then extract the screen_name from each of those user objects.
Another alternative is to use friends/ids instead, which return up to 5000 user IDs per request. To turn those into screen names, you’d then have to pass 100 of those IDs at a time to users/lookup.
Either way, for most accounts you’ll need to make a series of requests to assemble this information together. [node:10362] has some pointers on how to work with cursors.