“When I ask someone if he is saved and he sarcastically says, ‘Saved from what?’ how should I respond?”
He almost has a right to be sarcastic (what Shakespeare called “the lowest form of wit”). As Christians, we should be careful when we use words like “saved,” because they make no sense to an unbeliever. We put up signs proclaiming “Jesus saves,” and wonder why the world asks which bank He saves at. I would never ask a person if he is saved. In addition, a false convert will say that he is saved, despite the fact that he is trusting in his own righteousness.
I find that the best way to witness is to begin in the natural realm, then ask what the person thinks happens after someone dies—“What’s on the other side?” If he thinks there is a heaven, ask if he is good enough to go there, then take him through the Good Person test. Once he understands his sin, then the fact that Jesus can “save” him from death and hell will make sense.
Psalm 80:3 Restore us, O God; Cause Your face to shine, And we shall be saved!