I think you should have some fun with him.
There was a this American life story about that: some guy that responded to every scam email he got, with the intention of stringing them along and wasting as much of their time as possible; his thinking was that every minute they wasted on him, they weren't spending on some little old lady with a pension check... plus it was fun. One guy he led on a wild goose chase all over the bad parts of Africa.
I've played similar games with scammers on hacked ebay accounts. If you have a few minutes to spare for entertainment and some creativity it's actually immensely satisfying. -Like prank calling someone who REALLY deserves it.