They are extremely dangerous people.
You cannot threaten legal action because legal action is their strong suite.
You cannot yell at them or say anything rude to them because they will hunt you down and can do major damage.
If they are very VERY into getting you involved, and have something they want specifically from you (if you are rich or high profile) they will stop at nothing and I wouldn't be surprised if they had private investigators following you.
Those are the kind of things that they do.
You say you have nothing against it- well, you should. It is NOT a true religion, it is a CULT, and a dangerous one at that.
It was created by a terrible sci-fi writer who was running broke and needed some quick cash- so, voila, Dianetics. Oh, taxes? Well lets call it a religion and we won't be taxed!
It is classified as a cult in many countries and it's time to do it here also.
Anyway, a great guy I know of runs this pretty big site called Operation Clambake- xenu.net.
Here is what he says;
"The cult got my name and keeps calling me, are they dangerous and how do I make them stop?"
They will not hurt you. You should however never underestimate their ability to slowly reel you in.
The repeated calls is a known problem. Arguing with them only seem to make them think there is an opening - by appying enough pressure they expect you to give in. My advice would be not to argue with them, refuse whatever attempts they make. And don't ever be angry, showing emotions makes them think they have something going.
The passive method is to just hang up and it is likely they eventually will stop if you refuse to listen and they can't tell if you have any reactions to it. Be aware that they can be very persistent! If you want to be more direct you should ignore totally what they say and - with authority in your voice - tell them with as few words as possible that this is illegal harassment and you will report them to the police. Be prepared by writing a little script of what you plan to say. Then hang up without slamming it in their ear.
You can also go further by (again totally ignoring what they say and use authority in your voice) starting to talk about OT 3 and the galactic overlord Xenu who Hubbard writes about there. The caller is most likely not authorized to listen to it. Tell them that if they don't stop calling you immediately, you are considering printing up leaflets about Xenu and OT 3, and distributing them outside their "church".
But don't threaten with something you don't intend to actually do. And never threaten with anything illegal or violent, they are sure to report you to the police. Be firm in your voice whatever you say, never irritated or angry. Try to understand how the cult present critics out in the real world as crazy people out of control, don't live up to their expectations. Remember that the person calling you is a victim.
Anyway, I suggest reading up on that site (xenu.net). You will see what monsters they are.