Oh, it will work, it will get you lots and lots and lots more calls. These are crooks violating the law, what makes you think they are going to honor your wishes, it they don't care about getting fined or going to prison?
By calling the number back and putting yourself on a "do not call list" all you're doing is verifying that your phone number is a legit number. That just means more calls. Don't ever do that. Don't call back. Get a call blocker or something if you want to stop the calls...