Oy. I know Jehovah's Witnesses can be a bit on the insistent side, but that doesn't mean you need to be rude to them. It's enough to say "Please don't come here anymore." They do write down the addresses where people have said that, and take care not to stop at those houses again.
Most of them are really, really nice people who keep their heads down, do their work, and wait for the end of the world.