I don't bother correcting anyone. I've been answering to the name of "Helen" for about fifteen years now. The lady who keeps calling me "Helen" asked years ago, "Your name is, 'Helen', isn't it?" I said, "No," and I told her my name. It just went over her head, and she kept calling me "Helen".
At some point, about eight years into knowing her, it just got too awkward to even consider telling her my real name, so I just answer to "Helen". LOL
With the less extreme, more common, pronunciation mistakes; I don't bother correcting anyone either (as long as the name on my paychecks are correct). There's really not a lot of point in a lot of cases. :/