Well, when someone uses a label that can mean a lot of different things (ie. a loaded label, like . . . well, jock is all I can come up with off the top of my head, but jock works well as it has connotations beyond "a person who enjoys sports") you ask them to clarify (ie. if someone calls me a jock I'd ask if they thought I enjoyed sports or if they thought I was an overcompetitive jerk *g*).

Labels get a bad name due to the connotations some labels carry, or that later get added to that label (take Vegan, in the beginning Vegan meant just plain Vegan but as the label grew in usage it also acquired some baggage in various circles so that some people now take Vegan to be more than a dietary/consumer choice) but without labels we wouldn't be able to communicate. Hell, all language is is a series of labels.

But again, I'd say ask for clarification if you feel yourself getting offended. If, upon clarification, the offending connotation is actually meant then go ahead and be offended. :)

Just out of curiosity, what's offensive about "Married Open Relationship Dude"?

To be honest, I don't see why there's so much fuss about labels. If someone labels me in a way I think gets it wrong, I offer them a different label that's just as easy to say. "Dyke with boyfriend" is working well at the moment, as is "gender: drag queen". When they no longer feel right, I'll change them, I imagine, as I always have.
I think it's silly to suggest people live beyond labels. Labels are part of what makes it possible for us to have conversations. If every time I was referring to myself I had to say "well, I have a male primary, and we're polyamorous, but he prefers alone time to dating at the moment, and while sometimes I like guys I prefer women by a long shot, so I usually date women, though by 'women' I run the range between biofemales, ftm and mtf, and sometimes people who don't gender at all"... I'd spend all my time alone. I can't be bothered. I can label myself as "dyke with boyfriend" and explain as necessary. It's surprisingly descriptive.
A lot of conversations involve a label being presented and then refined; for example, one might say, "I hate Indian food, it's so spicy", then refine it to West Indian food when someone points out they like korma, then refine it further to mean certain dishes. And even then, not all vindaloos are created equal, so they might say a particular restaurant. I don't think that's bad. I think if we just jumped to the point and were overly descriptive instead of using labels, our conversations would devolve into monologues that go back and forth.
So, anyway, back to the OP- I think the best way to do that is have a funny label that's easy to say. It'll tend to stick. Sometimes, other people will nod and agree with that label themselves, and begin labeling themselves that way too. :)