You can't always win. While I was studying for my PhD I submitted my MSc thesis as a research paper (really, I wrote a research paper and submitted it to gain my MSc, then polished it and sent it to the journal).
The referee's remarks came back in an envelope addressed to "Dr.". Since I had to send a revised version back, I wrote something like "Since I am currently studying for my PhD, I'm not yet 'Dr'." It wasn't a big deal to me, but I didn't want the departmental secretaries thinking I was misadvertising myself. This all seemed to go OK -- it passed without comment, my revisions were accepted and my paper went to print. Then the printers sent my preprints addressed to "Professor".
It occurred to me recently that they may have taken my letter into account, since in the U.S. "Professor" is the lower title (as far as I know, it applies to anyone who teaches), but at the time I read this as an upgrade -- in the UK "Professor" implies tenure!
So yes. I don't think you need to worry about including a short sentence like "By the way, I don't currently hold a PhD so for the moment I'm just 'Mr G. Mann'". I'd advise against the out-and-out joke response ("That's MR Evil..." etc) but it's fair to assume your interlocutor is at least good-humoured.
If conference badges seem to always include "Dr", perhaps ask if it's possible to omit the title, as if it's a technical question?
(On the related question of whether to include "Dr" in various contexts, I use it when a title is required, since it is my title -- and it appears that way on my billing information for example. This may mean people misidentify me as a medical doctor, but I've never had that problem. However, I don't use it most of the time. My e-mail sig is just 'John Aldis', for example. Outside the "match the billing information" examples I use my title only when doing things directly relevant to my degree. If I was applying for a post-doc, or writing a letter to a newspaper in a professional context, I might do it. Otherwise, I wouldn't.)