When we were kids they would come around and our Mom would have us hide in the house and be quite until they stopped knocking! As a kid it was fun to "hid out" from someone. My Dad, on the other hand, would chase them out of our yard. He had reason though because one time one of them stuck his food in the door so my Dad coudn't close it after he told them No! That guy was the first one chased out of the yard : ).
I look at it like feeding cats, if you keep giving them food scraps they will keep coming around. If you really aren't interested in joining their religion then tell them no thanks. Then again maybe you are and in that case you should go to one of there services to see if you like it or not.
By the way, the last one that stopped by my house I took the pamphlet and thanked the nice lady and told her that I am not interested at this time but I would look at the pamphlet and contact them if I changed my mind so she didn't need to stop by again. She was polite and shook my hand and off she went. I haven't had any more stop in some years now.