I'm a pretty non-confrontational person so I used to just let queue jumpers go without saying anything, but over the years I've started to actually speak out & stop them.
The most common situation I've experienced is when my party & I are at a part of the line which is already standing still, and all of a sudden, here come one or two people cutting through saying something like "Excuse me, we're trying to catch up to our group.. excuse me.. excuse me.." As if using polite language and offering an explanation for your line-cutting is going to downplay the fact that you are cutting in line? No, it isn't. Now, when this happens, I'll stop them & say something along the lines of "I'm sorry, but you can't cut in line. That's just not how it works. If you want to ride with the rest of your group, you should all get in line together. Maybe you can get them to come back in line to wait with you."
Of course, nobody ever reacts very positively to this, but I've found that it works. I'm fairly sure that a large portion of the time, there is no "group" at all for them to catch up to. Sneaky bastards.