That's always my technique at stores that try that (aside from CostCo). The nice part is that they really aren't used to people saying that (especially if you say it very pleasantly, as if they had offered you something) and will often stare at you with a "deer in the headlights" look.

The worst that's ever happened was that I once had a Best Buy guard yell at me and start trying to chase me out into the parking lot, but I just ignored him and he eventually gave up and went back. Flaunting fake authority like that makes me very happy for some reason.

Where I shop (Redwood City and Mountain View) the receipt check lines are long and clog the exit. There's no way to bypass them unless you don't have a cart.