I think one way to engage them is to ask them to share what they believe is the best evidence/story, and then explain all the ways that ghost sightings have been debunked (e.g. senses can be fooled, optical illusions, alternative explanations, photo artifacts, ghost hunter poor and unscientific “investigations,” etc.)

Depending on their emotional investment in their belief, it may take several conversations.

Don't argue about the existence of ghosts.
Just say "Don't lie. Lying's a sin."
Even when they try...just interrupt them and say firmly "Don't lie to me or yourself. It's. a. sin."

You need to associate believing in ghost with the sin of lying.

Sometimes you need to use one part of faith to guide the believer to a better place inorder to eventually escape faith into reason. Baby steps.

Unless you wish to lose folks in your life, ignore them. If you are ok with losing them, perhaps you might begin with a dialogue about faith vs evidence. An atheist friend of mine had 3 daughters. One became a Moslem. One became a Catholic. The last I don't know about.. I don't know how Mom does it. She is much more tolerant than I. Can one really argue with the irrational. No. Leave it alone unless you are ready for the consequences.

Good way? There isn’t one. Just be blunt about it. Other people’s opinions are not my problem.

You could start by asking them if they've been naughty or nice because it's really going to matter come Xmas.

You can say things that might make them think, but they'll still stick to their beliefs. If the ghosts speak to them, ask them if they are hearing them in English or some other language, and how they know what is being said, could it just be their imagination?

Was always curious what language Jesus uses when he speaks to folks. Does he have an accent? Does he use contemporary slang?

I had a boyfriend who believed his ex-girlfriend's dead dad came to him in a dream and told him to take care of her and that was his reason for being so devoted to her even while we were together. This ex-girlfriend's dead dad lived in China and didn't speak any English. So I asked him, was this ghost speaking English or Chinese? No answer, only silence.

That was the last big fight we had over her. She can have him, I said. I didn't want to be attached to someone who honors a ghost's request to take care of his ex-girlfriend, taking time and resources from his current girlfriend, which was me at the time.

He couldn't be faithful to me in our relationship, but he could honor what he thinks he heard was a dead man's wish in a dream many years ago. I wasn't going to have any of that. He can think what he wants, but I won't support that thinking. People believe what they want to believe for whatever reasons.

I just roll my eyes and walk off

Why would you try to "instruct" anyone on anything? Were you asked to do this? Minding your own business, and IF asked, simply stating you think otherwise, is the mature & wise way to go!

This is hard to do. You have to learn to live with it. I find it strange also that people who do not believe in a sky daddy or a holy ghost will go out of their way to inform you that there are ghosts. How could this be? Why would you not believe the supernatural in a religious sense and still believe it in a superstitious sense? There are no "ghosts."

You can't and shouldn't. They won't stop irrational thinking. Better and much easier for you to stop being annoyed. Use logic in deciding what is easier, change yourself or trying to make others change.

My suggestion is let them have their ‘ghost!’ It is they...who wants to live with them (apparently). Lol There is even a good chance that the ghost somehow comforts them! I simply have never been visited by any ghost, but I think that if I was, I would be amused and let them have their space (the same as I do with snakes).

I did have 2 friends who were sisters and both had experiences with aberration that I never had (we were friends for 40 odd yrs). We came out of the Baptist religion, maybe they picked up seeing things there. One sister did firmly believe that she will be reincarnated and never gave that up, no matter how far away from religion we all got! Alzheimer’s ran rampant in their family and with these sisters! They were 2 of my best friends, kind and loving! I just left them to believe what ever they choose to believe...I had other thoughts and beliefs...that they allowed me to have!

Dress up as one and scare them. When they are running or calling Ghostbusters, take off your costume and let them see reality. Watch the movie Beetlejuice for tips.

Welcome to the asylum. Enjoy your stay.

You cannot tell believers, in nearly anything, to just stop believing.
It doesn't matter if it's ghosts, religion, 45, qanon, whatever.
They won't do it, at least not just on your say-so.
Most believers in anything will only stop if they choose to.

My motto is live and let live. I don't really get feeling annoyed by something like that.

You have to ask them for objective evidence that can be tested.