If you know the person will not respond well to telling them outright not to speak L”H, often the best thing to do is to quickly change the topic — it is actually easier then it seems to interrupt someone with “Oh! I just remembered I really wanted to tell you. . .” — at worse they’ll think you are being rude, but if your new topic is interesting enough then the moment will pass!
I stumbled on this approach many years ago by accident when I was in camp. There was a big push to be careful, and one thing going around was that if someone is starting to say something that sounds like L”H, you can use a hint to stop it. A popular one was “I smell smoke.” Well, I was with a group of girls who started speaking some L”H and I said “I smell smoke.” What I didn’t realize was these particular girls had never heard about this phrase, so they took me literally, and decided to go out of the bunk and check around. I didn’t bother explaining because the purpose was served anyway — everyone was distracted and the conversation was over!
Since then I discovered that you don’t usually need something that dramatic — conversations naturally change course all the time (just look at a typical CR thread!).
Obviously this won’t help if someone is specifically trying to tell you something — that would probably require a more direct approach, as ZeesKite discussed. However for the L”H that is constantly just coming up in conversation this works.