I always feel bad too, I end up saying "you didn't know but I had a miscarriage at ___ weeks."
Sometimes I wish I could just wear a sign so that people don't even ask.

I just tell them and then just leave it at that. Most of the time then say that they are sorry. And I just let them know that it is ok. And most everyone understands. I work in an office of nothing but men so they all are very supportive and wish me well.

I had that problem... it's so awkward. I asked a few of my friends to try to tell everybody we knew in common so I wouldn't have so many people asking. Then I would get "how are you feeling?" and not know if they meant how am I feeling since I lost the baby or how am I feeling because they thought I was still pregnant. Good luck.

I think you should be honest with them and start the conversation out with a warning clause, some thing like "I'm sorry to tell you but......" then close the conversation with "but we are going to try again and the baby is in a better place."
I had that happen to me on the elevator the other day....she asked to see pictures of the new little baby, she had no idea I miscarried at 19 weeks.....

My response isn't as good as the other ladies. When people asked me how the baby was doing, I reponded with "I'm not pregnant anymore." That usually stumped them enough that they didn't say anything else. I guess I was lucky, if you can call it that, because I was 11 weeks along and hadn't told too many people I was pregnant, just some family, very close friends and people in my office that saw me dealing with morning sickness. When people that didn't know I was pregnant, but knew I was off work for a while and could see something was wrong asked, I just told them I had a medical emergency. It seemed easier than going into all the details.