A great book to teach strategies for handling teasing is "Simon's Hook" by Karen Gedig Burnett. She tells a fish story about fish who "bite" and fish who are "free fish". She likens teasing to these hooks and teaches the kids to avoid biting the "hooks". The five strategies to stay a "free fish" are:
I have found that often the best answer to a tease is just to say, "Thanks for noticing!" and walk away.