I feel your pain. My lovely boy and I got engaged, er, 6 or 7 months ago. I, personally, do not like engagement/wedding band sets. I simply do not want an engagement ring--I want one ring, once we're married. But, of course, everybody's first question was about the ring, and I was told by several people that I wasn't "really" engaged because I didn't have the ring yet. I responded that if we went by that standard, I wouldn't be engaged until the actual wedding ceremony, when he gave me the wedding ring (meaning my engagement would last all of 2 or 3 minutes!). I imagine it would have to be worse for younger couples or those who haven't been dating as long--I got these comments, despite the fact that we're both in our 30's and we've been together for five years.
I would simply tell people that you're still looking for the ring, and then direct the conversation to a different topic.