I find this really hard too, but I think just try to politely say "I understand what you are saying, but no." Is he wanting to do cervical exams now? My--often much too interventionist for my taste--OB doesn't do any between your first visit and 36 weeks, and I assumed this was standard of care. You might want to do some research on this so that you feel more confident saying no.
In general, I have have found where you don't need to affirmative say no to something, it is easiest just to listen to what they have to say, without commenting at all and just let it sort of role off of you. I have reasons for wanting to stay with my doctor, who in some ways is absolutely amazing, so I've really had to get good at this, and at in general finding other ways to get the support I need. I also tend not to bring up things that might be controversial with her until they actually need to be addressed. And for things that I'm pretty sure I'll get an answer I don't like (like, can I eat during labor?), I just never ask at all, and do want I want in the hospital.
Another approach of course is trying to find an OB whose approach is more in line with yours. Not sure if that is an option for you. But if it is it might be worth considering. I know a few people in this group have switched providers over similar concerns and been thrilled with their new docs. I will say that the reason my OB works for me is that in the end, although her prefered approach is often different than mine, she absolutely respects my wishes and goes along with what I say. In some ways the cervical exam issue is a good way to test this with your doc. If he really won't accept your position even once clearly voiced, it might be particularly a sign that it is time to start looking for another provider.