A sample footnote for this sermon would be:
1. John Wesley, Sermon 87, "The Danger of Riches," sections ##, in The Sermons of John Wesley, ed. Thomas Jackson, Global Ministries of the United Methodist Church, accessed January 13, 2012, http://new.gbgm-umc.org/umhistory/wesley/sermons/87/
Your bibliography entry would then, as is normal for Chicago style, replace commas with periods, remove the sermon title, and add a hanging indentation:
John Wesley. The Sermons of John Wesley. Ed. Thomas Jackson. Global Ministries of the United Methodist Church. Accessed January 13, 2012. http://new.gbgm-umc.org/umhistory/wesley/sermons/87/.
The attached links are also helpful in citing Wesley.