I don't bother saying no. As soon as I realize its a tele-marketer I just push the off button. Its really not worth your breath.
I have an answering machine and caller ID.
I screen my calls.
If I recognize the number, I pick up the phone. If I don't, or the number is blocked, friends know to start talking to the machine, then I pick up. Otherwise people can call a thousand times and all they get is the answering machine. They don't know whether I am home or not.
I think this is such a simple solution, now that we have the technology, I don't understand why people keep letting themselves be bothered by unwanted calls.
My philosophy is that the phone is there for MY convenience, not that of others, and use it that way.