Listing elements of (Z/nZ)*

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You can use the method with a surprizing long but explicit name list_of_elements_of_multiplicative_group:

sage: G = Zmod(8) ; G
Ring of integers modulo 8
sage: G.list_of_elements_of_multiplicative_group()
[1, 3, 5, 7]

If you want this set as a genuine group, you can do:

sage: G.unit_group()
Multiplicative Abelian group isomorphic to C2 x C2