My personal style (whether the comment was offensive on religious, racial, gender, or moral grounds) would be more along the lines of a stern admonishment that such language is not welcome in my house, rather than an immediate and indefinite banishment. I think that an overly aggressive reaction can be counter-productive, whereas a polite rebuke might actually help the person learn something.

But the important part is to not let such comments go unchallenged.

I think personal style might depend upon whether one's reaction is spontaneous or calculated.