I tend to avoid referring to myself as a "graduate student" in the classes I teach. It's not out of pretentiousness, though.

See, I've never found a good way to say "grad student" without implying "JUST a grad student". And that's not how I want to present myself to my class...it sounds like an apology. Fact is, I have been appointed as the person who is in charge of their class, I will be setting the assignments, creating the syllabus, giving the lectures and the exams, and assigning the grades. They don't get a tuition discount because they aren't being taught by faculty. So, from the students' perspective, they have every reason to expected just as much from me as they would from someone who is a tenured full professor. Lowering those expectations by calling attention to the fact that I'm a grad student is a mistake, and it sets the wrong tone. Fact is, I expect just as much out of myself AND THEM as I would if I was full faculty.

If there is any situation where it makes a practical difference to a student that I am still working on my dissertation, I clarify the situation immediately. For instance, I am often approached by students who'd like to work with me in my "my" lab, but I need to let them know that the lab is run by my advisor since I am a grad student. Also, a student who wants a letter of rec from me should know what they're getting. But for the average student, it doesn't (and shouldn't) make any difference to them whether I am an "associate professor" or "teaching associate".