Step 1: Catch them at the moment they call you the nickname you don't like.
Step 2: When you are alone with the person calling you the name (say you went to the powder room with them) be assertive with them and be serious.
Step 3: Tell them to stop and be confident with it. If they say they won't stop, say you will not acknowledge them at the time if they call you that.
Step 4: Watch results. Make sure they know your preferred name, and keep it that way ;)