I was gonna suggest opening the door and just politely declining there services but looks like you've done that already.
Maybe put up a sign near your door about no soliciting or no Jehovah Witnesses signs.
Her'es a link to a sign that you can print out and put near your door. http://www.witforjesus.org/images/stickers/jw/jw-sticker.jpg
You can also respectfully tell the next group of Jehovah’s Witnesses who visit your door that you do not want to be visited by them because you've studied their religion enough to know it is not the truth.
When you do this, be sure to hand them a “Facts the Watchtower Society Doesn’t Want You to Know” website article. Jehovah’s Witnesses are AFRAID of any literature that exposes many of the errors of their religion, so when they see that you have this kind of literature on-hand, ready to give to them when they come to your door, they will be too afraid to visit you and your place again.
Other than that then yes if they do return to your property and don't leave when requested call the police on them and they may get the hint.