There's an old Betty comic strip I got a kick out of. Betty is going through some old stuff and finds something she wore a long time ago.You should've told them you only speak Klingon.
So she walks into the living room and tells her husband, Bub, "I found my old Halloween cannibal costume!" Bub's eyes light up in appreciation, as he sees her barefoot, dressed in a grass skirt, coconut shell bra, with shells around her neck and ankle, a bone in her hair, and she's carrying a spear.
Next panel: There's a knock at the door, and Betty wonders, "Who could that be?"
Last panel: It's an older, very stuffily well-dressed JW couple, holding their bible and pamphlets, staring in shock at Betty in her cannibal outfit, still carrying the spear. Betty is equally shocked, but I suspect she and Bub will have a good laugh about it as soon as the couple leaves.
What I did one time was (truthfully) tell them, "I've been studying the Navajo religion and I find it fascinating". I didn't bother mentioning it was for one of my cultural anthropology term papers. This must have made quite an impression, since they didn't bother me for the next three years.