No, you are not thin skinned, what this person is doing is bullying and harrassing, do not let it continue, no matter how much of a go getter they are, what they class as harmless is obviously not.
So be firm but polite, and do not appologise, tell them straight that you do not like how they treat you, that you find it offensive and quite simply that you want them to stop.
Report the harrassment to a more senior person or your union rep if you have one, and make sure that you have a witness with you when you tell the person to stop.
At work you have the right to expect respect, and putting up with some egostistical fool will not get you that respect, dont be tempted to respond in kind, it just exacerbates the situation.
Report whats happening, keep a record of it, and any response you give keep to the very bland ( yes,right, whatever!) do it disdainfully, and dont let them get to you.
Turn the tables by waiting for the next response, and being ready to show that complete disdane.
Body language is a superb tool, just a look with a shake of the head and a deep sigh with raised eyes is a good signifier that you find someone purile.
Or just turn and walk away saying( yes, right, whatever!) and flick your hand in dismissal.
If you want any other advice or want to talk more, contact me, I have been a senior union rep and dealt with a lot of this crap.
It takes abit of courage and once you start to assert yourself, do not stop, it is hard, but it is worth it.