I never got too upset about it, but it did happen a few times earlier in my
career. Sometimes I'd simply say "yeah, but I've been playin' a lot of
second position stuff already tonight, thought maybe I'd do this one in
first, or third" or something like that.
If it persists, pull out the chromatic. One good way is to learn guitar
too. Then you can close the harp case for a few songs, play guitar a few,
then switch back to harp. Most guitarists will show a bit of respect after
that. Besides, it also helps when someone doesn't call out a song key -- you
can look at the fretboard and tell what key the guitarist will be playing
in.
Finally, keep a set of diatonics to cover all the keys just in case someone
tries to pull the "let's do one in C#/Db" number on you.
bill