A new spin wavelet transform on the sphere is proposed to analyse the polarisation of the cosmic microwave background (CMB), a spin $pm 2$ signal observed on the celestial sphere. The scalar directional scale-discretised wavelet transform on the sphere is extended to analyse signals of arbitrary spin. The resulting spin scale-discretised wavelet transform probes the directional intensity of spin signals. A procedure is presented using this new spin wavelet transform to recover E- and B-mode signals from partial-sky observations of CMB polarisation.