Yeah the best way to say it is to just say it. Don't bother with any long introductions or preambles, just say it. From my experience, not only is it easier for you to say it to whomever you're coming out to, but it's also easier for them to hear because they aren't anticipating a million different bad things (i.e., that you're about to confess to a murder, etc). I've come out to a lot of people and the reaction has always, without exception, been better when I've been very straightforward and blunt about it.
So I think the main thing is to tell them you're trans, make sure their idea of what that means is accurate (some people have very strange theories about what it means to be trans), and (if they're close to you, or you feel comfortable discussing this with them) let them know you'll answer whatever questions they have about it.