You can be honest with them.
Say something like, “I need to apologize to you guys for giving you a false impression. I’m not really interested in converting and never have been; I just figured that if it was an important part of your ministry, I was happy to help by accepting literature.”
“It’s been pointed out to me that I’ve actually been leading you on and getting your hopes up. I’m truly sorry. I wish you the best, but it would be a waste of your time and effort to pursue me anymore.”
Of course they’ll chime in with comments, and you’ll have to play it by ear; but stay true to the main message: “I wanted to be nice, but I’m actually wasting your time.”
End by reiterating that you’re sorry, and also that you would prefer that they not come back.
If they try to entreat or insist, just say, “I really mean it. I’m not interested.”
If they still push back (and they probably won’t), tell them that you’re going to close the door. If they don’t immediately leave, just do it.