Just say, "Add me to your 'Do-Not-Call list.' I wish to never again be visited by Jehovah's Witnesses." Then you may politely say "Goodbye" and close the door.
Any attempts at arguing or even civil-mannerly debating with them will not work. Also, simply stating that you already have a religion or that you are not interested will as well be unsuccessful endeavors to get rid of them. Jehovah's Witnesses take that to mean that you are not currently interested in their theology. They are "concerned" about your safety during the Armageddon and so will visit you again after some time—unless, of course, you make it clear to them that they should add you to their "Do-Not-Call list." It's a list that forbids Jehovah's Witnesses from knocking at the marked people's doors.