Then how do I keep people from setting up on me? It costs me the match almost every single time they it (wall or no wall).
Other than Hazing or Phazing, or the mentioned Taunt...
If you're faced with something dangerous that had a good switch-in and you know they're about to Dragon Dance, sometimes you could just switch in a wall that explodes, like Forretress, to end the threat immediately.
Also Focus Sash-equipped sweepers may be able to absorb a hit and KO back.