NOTE: At first I was writing about how wasting a telemarketer's time was pointless, because they get paid anyway, but I re-read your question and it was about scam callers. Screw those guys. any way you can find to waste their time, use it.

When you try to waste someone else's time, you're just wasting your own time. I used to mess with people at the door and on the phone too until I realized it wasn't worth it.

• Sales calls and door-to-door salesmen are just trying to make a living. When you waste their time, that part of their working day is gone completely and if they don't get an hourly/per appointment wage, that means they have to make up for the time you wasted by knocking on more doors. If you are up-front and honest about not wanting the product, they can get on with their day and keep trying to make a living. Imagine being a server at a restaurant and having people at your table intentionally take half an hour to decide what dish to order. It sucks. Why do that.
• I've talked to JWs before. I was up-front and honest about the fact that I would not accept pamphlets or go to their church meetings, but I was willing to talk about the bible once in a while. They came by and we had door-step conversations once every couple of weeks for a while. Because I was up-front and honest, we had good talks and neither of us wasted our time. When I told them not to come by anymore, they stopped.
• Mormon missionaries are now usually trained not to knock door-to-door, because it usually is a waste of time, but may do it anyway. If you don't want them bugging you, just tell them to write down in their Area Book not to contact you at that address. If they do what they're told, they wont come back to your door, but you might have someone come knock a year or so later in case you might have moved, if they do this you should say something like "tracting is a waste of your time and the Lord's time, go get some member referrals" then promptly remind them that you do not want to be contacted and they need to write it down in their Area Book.

With religious groups, unlike sales people, they are typically doing this out of their own pocket, because they genuinely think they are helping you. Yes, they want you to go to their church and get baptized, that's how religion works, but if you're not interested just tell them and move on with your day. They do not personally benefit from you converting, they believe you will benefit from it, which is why they're trying to talk to you. If you don't believe what they're saying, or you're not interested, wasting their time really is just a waste of your own time, because nobody gets anything from that.