1) Copy the source code that produced the format and run it on the target computer.
2) Convert the SAS format into a SAS transport file using the CPORT procedure, do a BINARY transfer of the file to your target computer, then read in the transport file using the CIMPORT procedure. Refer to SAS documentation for more details.
I used a technique much like Peter.C suggested except that the source library was allocated on the mainframe as a remote table using the CONNECT Spawner (thank goodness that was available). I allocated the target as the server library and - ta-da!
Also - the source library had only the formats that I needed for this application, not the entire production format library. I was thinking that I needed to select only a few formats from a library that contains hundreds.
And - unfortunately, the source code is long gone...