I second MKW’s suggestion that example is the
best way to deal with them, but it isn’t neccesarily the only thing you can do.
Supplement your living example with charitable discussions on why they are concerned for your salvation. Decide with them on one topic of Catholic Doctrine that they believe is false, and resolve to spending some time (an hour or two) to discuss that Doctrine.
The key here is to make sure to give yourself enough time to research the Catholic position before the discussion. Don’t get right into the discussion as soon as you decide the topic, but let them know you want to spend some time in prayer and study before the discussion. I suggest you give yourself
at least a week to prepare.
Take plenty of notes, highlight in your Bible, print out information you find on the subject. And don’t worry about referring to your notes, printouts or Bible during the discussion; if they can argue their position from memory, that doesn’t necessarily mean they are correct.
Find out beforehand what their arguments are going to be and how to refute them, and don’t worry if they stump you. If they ask you a question you can’t answer, honestly let them know you are unsure and you will research it and get back to them.
Make sure to stay on topic! If you decide to talk about Confession/Reconciliation; then Mary, the Pope, the Eucharist, etc. have no business in the discussion. Gently steer them back to the subject at hand.
Here are some various sites you will find useful if you decide to engage them in these discussions:
Bible Christian Society
Bible Truth for Baptists
Catholic Answers (duh)
Catholic Outlook
Envoy Magazine
Examining Protestantism