The origin, $0$, the projection point $P$ and point $M(x,y)$ being aligned:
$$f(x,y)=PM=OM-OP=\sqrt{x^2+y^2}-1$$
thus
$$\vec{grad}f=\binom{\partial f/\partial x}{\partial f/\partial y}=\binom{x/\sqrt{x^2+y^2}}{y/\sqrt{x^2+y^2}}=\frac{1}{\|OM\|}\vec{OM}$$
This last vector expression is important because it connects the gradient to its main meaning: it indicates the direction of greatest increase of a function, here the direction in which the distance to the sphere increases in the fastest way.
(Thanks to Mathemagic who spotted an error that I have corrected.)