I just let it go if I know that the person is religious. I was pretty religious myself until I grew out of it in my mid 20s. So, I know why a religious person might say to thank their god. It is saying basically to thank some divine deity for giving you such talent. They mean well so I just take it like a compliment and nod if I were you. But i can see why you might be annoyed by it, especially if you did not have a religious upbringing.