I realised a long time ago that the scammers have heard it all before when it comes to cute responses, so it's naive to think that anything you say is going to upset or shame them.
The only strategy I've found that does seem to annoy them is to waste their time, with the added bonus that all the time you keep them on the line, stringing them along, is time they haven't been using to scam some other poor innocent victim.
I managed that for over an hour once, and got a torrent of abuse when I stopped halfway through reading my made-up credit card number to explain that I'd been winding them up.