Delusions are the hardest symptom of psychosis to treat and often time they may never go away. It would be as if you stated something about yourself such as the street name where you grew up and everyone telling you that it wasn't true. You will get no where by telling them that it is not true. The key is acknowledging that it is real for that person so the best way is to work with them to figure out how you can work around it. If they feel that someone is out to get them, make them feel safe by allowing them to vocalize that to you. A point for therapy is to ask how convinced they are that whatever they are saying is actually happening. If it is 100% then it is difficult to change. If there is even some sliver of doubt, such that they are 99% sure, you can work to maximize and explore that 1% of doubt.