You are not alone. My mother can't quite accept that I don't want to be Christian. I would do it to make her happy, but I just can't. (At least I am doing better than my husband trying to explain to his stepfather that he's got his own beliefs while being told about the wonders of TV preachers.)
Perhaps you could write it down-- make a list of a different aspects of Sikhism that attract you, things that you admire about what it teaches and about how its best adherents behave, some quotes (from the Guru Granth Sahib or other sources) that really inspired you, as well as ways it is similar to and different from Judaism, so that you can feel a little more prepared the next time you talk to your family about it. Perhaps assure them that this isn't a rejection of them, personally...
I am not the best person to ask, since I have my own family situation, but I am trying to be both patient and firm. For me, Christianity is not something I can ever accept, and there's not really much that anyone can say to change that. On this point, I have been firm, at least, but I don't argue about it either. I think it is more valuable for people (particularly my mother, but also my dad and my in-laws, to some extent) to see that I am still a good person and I am still interested in keeping our family bonds strong.