Barrelroll,
If this is a constand habit and politely saying something doesn't help, then have a talk with your chief pilot. This problem occurs between controllers too, because some individuals perceive themselves as super controllers, or in your case the captains perceive themselves as SUPER PILOT.
Some Captains who do this think that they are just being helpful or providing instruction, so they don't realize that they may be actually interfering. Discuss how your leg of the flight is going to be run prior to pulling away from the gate, then if during the flight the Captain continues to interfere, ask him if you are doing something wrong that you are not aware of, then work from there.
Mike