I say "We don't take sales calls. Please remove us from your list and do not call again." We actually don't get that many sales calls, though. We get a lot of charities wanting us to contribute. I give them the same message: "We do not take solicitations over the phone. If you would like to send me information about your organization via mail, I would be happy to consider it. Please remove us from your list and do not call again."
My understanding is that that last bit is something they have to respect, if you manage to get it in before they hang up. But I haven't formally tracked the results to make sure it works.
I often won't even answer the phone if I can see that it's a sales call (we have caller ID). It drives my teenage daughter crazy, because she thinks the phone should
always be answered (preferably by her). So she answers it, comes down, and hands it to me. Once I simply hung up and handed it back to her without even talking with the person at the other end. I knew who it was from caller ID. My daughter was highly irritated. I really have not been able to get her to believe that not all calls are worth answering.