How to deal with fellow grad students who want to copy assignments?
Sometimes, as in your case, you want to protect your best interests without burning any bridges. That's understandable, as I assume some regions have a much higher culture of cheating than others. For example, I know of one nation where people used to hire proxies to take their exams. In this case, I assume you've already participated at some point, so the long-term goal is to protect yourself and wash your hands.

Make an excuse about how you haven't completed your assignment yet. You can easily extend this to the due date and claim you were working on it all night the day it is due. Any other excuses like not starting, and so on, while you have, to hide the fact that you've done so.

This also protects you from being further involved in academic dishonesty without making you look bad to your classmates. Your end goal should be to cover yourself, and lying about not being able to share your work is a significantly better endgame than being caught in a cheating ring.

As to reporting the academic dishonesty, I hate to say it, but I probably would not do so at this point. You're implicated, and if it's a small class, it'd be easy to track back to you.