The statistics of the temperature anisotropies in the primordial cosmic microwave background radiation field provide a wealth of information for cosmology and for estimating cosmological parameters. An even more acute inference should stem from the study of maps of the polarization state of the CMB radiation. Measuring the extremely weak CMB polarization signal requires very sensitive instruments. The full-sky maps of both temperature and polarization anisotropies of the CMB to be delivered by the upcoming Planck Surveyor satellite experiment are hence being awaited with excitement. Multiscale methods, such as isotropic wavelets, steerable wavelets, or curvelets, have been proposed in the past to analyze the CMB temperature map. In this paper, we contribute to enlarging the set of available transforms for polarized data on the sphere. We describe a set of new multiscale decompositions for polarized data on the sphere, including decimated and undecimated Q-U or E-B wavelet transforms and Q-U or E-B curvelets. The proposed transforms are invertible and so allow for applications in data restoration and denoising.