Yup, I'm totally ok with the "No, Thank-you" part too. I do agree that "Stop!" would also work, but around here, "No, Thank-you" is a VERY heavily used phrase to get a child to stop whatever they are doing and listen to the adult. It is nearly always followed by an instruction such as "We don't throw sand". I am betting it is partly a regional thing, honestly.
I also completely understand the mama bear coming out when your child is the victim of another child's misbehavior. I was at an indoor play structure just a few days ago, and a family came in with two children who looked about 10 and 6ish and left them to go get food. The structure was in a seperate room with doors that close, and it is completely impossible to see or hear children inside when you are outside getting food.
Almost immediately, DS3 started following around the older child. She didn't seem to like him following her, and said so to me, to which I replied, "He likes older kids, and probably wants to play with you, but you can ask him not to follow you if you want, but he is going to be playing here for a little while longer". She did ask him, but he did keep following her, although he wasn't talking to her, or touching her, and was actually a few steps behind her, so I didn't intervene. Well, she started saying things to her younger brother like, "Look at the BABY, he's such a little BABY!" "Oh no! Run away! I don't want the BABY near me!" She was placing such emphasis on the word "BABY", which I knew was hurting DS's feelings. I heard him say, "I am not a baby, I am a big boy!". She then was saying things like, "I think we lost him!" "Yay!!!! I don't want to play with the BABY!" "Oh no! Here he comes! Quick get away from that BABY!" I finally just asked DS to come down and packed up. I did say to the older girl that she was being very mean to DS as I left. Totally unneccessary, and I felt a little funny saying it, but the parents were only just coming back into the room as we actually physically were going through the door to leave. It seriously had my hackles up and I was so angry at that little girl!
It is so hard to send our kids out there into the world where they can get hurt and not just want to lash out at anyone and everything that tries to hurt our kids, no matter how it is intended. Perhaps the little girl was playing a silly game that she usually played with her younger brother and was trying to draw DS into it, I will never know. Perhaps the little girl on the playground really had no clue that what she was doing was inappropriate, who knows, but it is still so frustrating, and you were absolutely correct to want to protect your little one.