Hum, haven't run into this one! Kids either get it right away or... well yeah that's the only experience I've had, aside from arguing with my little cousin for about 3 hours on and off at Christmas on whether or not I was Andrew or [Birthname]. His parents were great and were trying to correct him, he just wasn't getting on board (it's hard for an inquisitive three-year-old, sometimes!). Oh well!
Conversely, I did have an experience on the bus where a little girl of 2 or 3 or so said she wanted to sit in my lap (she was hyped on sugary snacks, I think) and her mom said "You want to sit in her lap?" Her daughter looked at her like she was crazy and said "no that's a boy." The mother tried to correct her, the daughter refused to believe I was a girl, and finally I ended it with "No, I'm a man." I have no problem embarrassing people, apparently

If it ever did come up, I think I'd just tell 'em the truth. "I'm a boy." If they prod... I dunno. Just keep insisting, I guess?