This happened to me at work. I was working on a project with a guy. I said "Christ on a bike" at one point. He visibly winced, and said "please don't say that - I find it really offensive". I said "Oh sorry, didn't realise" and never said anything similar in his presence again.
Short, simple conversation.
It doesn't take much to make little adjustments to ensure we all get on in the workplace.
What is wrong with people who just don't get it? Who think that the only appropriate response is to be a grade-A jackass?
As another person said,
Of course I would. Doing otherwise would be what's called, by those of us who like this whole 'politeness' thing, 'being a raging a**hole'.