I think it depends on the pseudoscience or paranormal claim being made and the circumstances around the believer.
I recently had a...discussion...with my uncle about a psychic reading he had, he believed in it completely and became quite...annoyed that I was trying to show him how I could perform a very similar trick (from this he derived I must be psychic) anyway, by the end I felt guilty, as though I had taken something away from him, I can reconcile this however, I now know that he will at least be reminded of my words or warning should he ever consider having another reading.
On the other hand, my girlfriend is a Christian, though she can't decide what sort. We discuss the bible occasionally and I am given a forum to give my point of view...needless to say, she very rarely agrees, but I would never push the issue and try to convince her she was wrong.
Perhaps I'm a hypocrite of sorts.
I think the skeptical community should put its efforts in to getting factually accurate information in to the public domain and allow people to come to their own conclusions, it's going to be a long haul, there's no quick fix. Educating kids is really the key I feel, I see no point in telling the 79 year old woman in poor health that there is no god.