
If you pretend his teasing doesn't affect you over time, hurt feelings could build even bigger, so imo it would be best to explain which topics are too sensitive to touch. If he's worth your time he'll be able to understand without being concerned that you're "lecturing" him. It's NOT a lecture to communicate your feelings and set boundaries. LDRs rely on effective communication to work, and he should be willing to accomodate your needs.