If you're going to respond to these guys, and it can be great fun, don't do it from your main email address. Get one that doesn't display IP addresses in the headers (fastmail.fm or gmail are two good ones). They don't care if it was the address they sent to or not - they literally send millions a day.
Visit
419 Eater for alll the Nigerian scam humour and advice (on how to torment them).
If you do plan on doing something nasty to them (like telling them you moneygrammed the money to Niger, not Nigeria so they have to go on a little safari to pick it up) don't do it with your phone number.