How to do it depends on your situation
Telephone Preference Service is a list of people that have clearly said "Not Interested", make sure you are on it. Google UK will find it, from OFCOM.
When they call, ensure you get the company name.
Calmly and clearly state that you are not interested in what they are selling, and would prefer them not to continue calling. Under the UK Data Protection Act 1998, they MUST comply with your demands to remove you from commercialised Telephone lists.
With the company name, call the marketing/ sales dept of the company, and tell them you are not interested in getting "Unsolicited commercial phone calls".
Having done this, just get on the t1ts of the caller. When you recognise it is a sales call, interrupt them and say "Can I just put you down for a minute, my (...)" and you could say:
My baby is in the kitchen
My pot is boiling
Sink is running
I need to turn off the TV
These are tasks that lull the caller into a false sense of security and agree to being put down. You then put the phone on the table for 15 minutes, and then quietly hang up. They have wasted up to 15 minutes of their time, lost other potential sales hits, and cost the company money.
The final thing is to ask the caller to hold while you adjust the phone, but you have a whisle on standby, and you blow it down the phone. Not breilliant cause he phone absorbs some of the noise, and I only use it as a last resort.
True Story:
I kept getting annoyed by phone calls from a certain Mobile phone provider offering me a free Video-phone if I took out a contract with that provider. All they needed was my credit card details to pay the bills, and they would send my phone straight away.
Despite constantly declining, they could not get the hint. So one call, I interrupted them and asked "Sorry, I did not catch that bit, what company did you say you were calling from", they gave the answer, and I did the declining.
I then phoned the Head Office of the Company and described the call I had been getting, and they told me that the company had not authorised any promotions of that descritption, and this sounded odd, so the person I spoke to took my details to investigate.
Next thing I know, I get a cheque for £50 in the mail. Turns out the caller was a fraudulent offer to coax Credit card details out of people, and by claiming they were from this mobile company, it would put the blame on this Company. My information had helped Police crack them open, and stopped a huge Credit card Scam ring.
Nice; £50 for phoning to complain about sales calls.