I'm a friendly little soul, and since my features are quite obviously foreign here in Spain, I tend to engage when the opening line is not overtly a pick-up.
So far, the pick-ups have not really been from the kind of guys I'd want to encourage.  Since people don't realise I'm trans, I try to just be a polite girl, although I will get blunter if a guy is too persistent.  
I find that it's useful to have a couple of pre-made strategies to pull out, and to make them plausible.  So, if a guy is insistent, I'll tell him that I'm recently divorced (true enough) and not ready for a relationship.  And if they take a roundabout route and ask if I'm living with someone, I'll tell them that I live with some girlfriends since my divorce. 
Frankly, if I can, I try to end with a smile and some kind of recognition that, while the guy is not for me, it was sweet of him to try.  That way I don't feel like a cow, and I don't leave another person feeling bad.