I'd agree with the outdoors idea, or the earplugs/headphones idea. You can get classical music or chant or something like that to listen to, and if your headphones are good enough, you may be able to block most of it out.
Already it's a strong stand to not watch with them just because they've got it on. I know it's hard sometimes to stand up to that, or when friends want to go to the movies, but... on the other hand, there are so many other more interesting things to do!
This world is full of interesting things we can pick up and learn if we want. (Rosary making for instance. ^_-) Doing things like that rather than simply give up and watch with them, is a great first step if nothing else!
Be strong, & God bless!