You can deal with jokes in a very pleasant way, and it won’t lead to unnecessary drama. However, if you're dealing with somebody who is flat out ridiculing you, then you need to be more careful.

Don't come off as so defensive that it's obvious that you're insecure. Instead, call them out. A simple “What are you doing?” will suffice and stop most people.

The whole point here is to send the signal that you're not a pushover. You're communicating that you saw what they did, and highlighting the fact that you won’t stand for it.