It depends on you. If you feel confident around the person, you probably wouldn't even be asking this question. I've told 'em to shut up when they teased me and they just laughed it off, but I was confident it wouldn't hurt their feelings (they know how I am). I've said far milder things when I didn't feel as confident and they were taken seriously. Keep that in mind. Gain your confidence before the teasing and you will be much better off. Take it from someone who's learned this (thankfully not in too much of a hard way). There's a point where you know it won't do anything to them (you don't have to guess). If you never reach that point my best advice is to stay away from the relationship. Generally you reach this when they start teasing you.
If you are too mild, it actually may come across as being jerkish (especially if you say it without confidence and in a twangy voice). Just say something with a serious face then smile. Just don't turn into a weirdo all of a sudden ("OMG I'm so sorry!!"). That's far worse than a slightly-over-the-top-joke for a relationship. Redeem it by doing something nice, not by being a wuss.
Don't overestimate your progress. I've had it where I've teased them and they loved it/smiled, then a few weeks later did the same thing and they took it seriously with a blank face. It probably had something to do with their mood, but after I did something nice (that helped regain trust a lot) they instantly responded much better to me and that's when they really started messing with me. Whatever works I guess. Maybe they thought it was cute I led them on this mystery.