People think this is really hard to do - but with a little practice and preparation on what you want to say and how you will react if they insist, then it's not that difficult. But it also depends on what they are asking? In general always be polite and never get angry. It's helpful - if you have the time - to rehearse what you want to say. Also in saying 'no' to someone you need to remember a couple of things. Firstly, you have as much right to say 'no' as they have for asking. Secondly, when it's a case of declining an invitation, remember it's the invitation you're rejecting not the person.
When saying 'no' have a legitimate reason for this. Don't make something up just because you think it sounds more reasonable - chances are it isn't and little white lies have a nasty habit of back-firing.