"Don't wheedle for nothing." .............
Would you say it to somebody that tries to convince you for something?
Or what would you say?

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I'm not sure if this is what you mean, but a better response might be, "You're wasting your time." Meaning, no matter how much they try, they are not going to convince you.

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I do not know this phrase...  How about:

You seem to be working hard to sell me on that idea.  You know I will decide for myself, right?

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"Don't wheedle for nothing." ............. This does not sound natural as 'wheedle' means to persuade or flatter. You can say, "You can't wheedle anything out of me."

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EastEmme is right.
You can also say: "You're spitting (or pissing) into the wind" if you want to emphasise that they will achieve nothing.

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