Personally, I go along with it, but give them fake stories.
It's a call about the accident I had? I go off for hours, start crying, explaining how it gives me nightmares, I close my eyes and all I see is the headlights coming towards me.
It's PPIPPI? It's how my dear wife killed herself due to financial worries, if only the PPI had paid out.
It's "Microsoft" calling up about my computer problems? I suddenly become the most inept computer operator you'll ever meet; one finger typing, not being able to follow simple instructions, reading every damn thing on the screen except what they want
etc etc. Sometimes they catch on quite quickly,. The longest I've had was the PC one where I kept a guy on the phone for 45 minutes. The longer they're not scamming me, the longer they're not scamming someone else.