I reply and correspond with them every time they write me. I figure if I'm wasting there time and dragging them along, that's less time they have to really scam someone. I actually had one of them send me a picture of them holding a sign with my name on it saying to vote for me. I had him convinced I was running for president. 
A good website to see how other people string the scammers along is 419eater . com.