First, I'm not sure I've ever seen a GMAT question which requires you to compare the standard deviations of sets which are of different sizes. In general, it isn't easy to do quickly and reliably. The method ajith suggests will work most of the time for very small sets, but certainly won't work all the time (as he acknowledged). If you take, for example, the following two sets:
A = {0, 6}
B = {0, 50, 50, 50, 50, 50, ...., 50, 50, 50, 50, 50, 100}
where B contains, say, one million elements equal to 50, then the range of B is much greater than the range of A, but because so many elements in B are equal to the mean, the standard deviation of B is almost zero, and is smaller than the standard deviation of A. That's a long way of saying that sometimes a set can have a larger range but a smaller standard deviation than another set.
For online GMAT math tutoring, or to buy my higher-level Quant books and problem sets, contact me at ianstewartgmat at gmail.com
ianstewartgmat.com