They are not supposed to be calling at all if your on the federal DNC period. However, it doesn't stop the illegal ones from doing just that.  And yes, they are supposed to place you on a internal DNC when asked also.  Charity's, some survey's and political calls are exempt from the DNC and debt collectors have their own set of rules under the FDCPA laws.
ROT, don't answer calls you don't recognize..  And when answered, never give out your information or say yes to anything.

Here is where you report them:

https://www.ftccomplaintassistant.gov/#&panel1-1
https://esupport.fcc.gov/ccmsforms/form1088.action
https://complaints.donotcall.gov/complaint/complaintcheck.aspx?panel=2  <telemarketers only>
http://www.consumerfinance.gov/complaint/
http://www.stopfraud.gov/report.html