It's a fact in most families, relatives feel they have an unalienable right to meddle. The thought is that since you are related, you should share every intimate detail of your life with each other, and give commentary and suggestions. In large families, they gossip about other family members. There are no secrets, and, just as in the childhood game "Telephone," the story changes as it's passed between family members. You, as a member of this family, fall into two categories; you either feel your life is an open book or you choose to have certain aspects of your life private. So what do you do if you fall into the latter category? Hiding doesn't work. The more you try to retain your privacy, the harder they will work to pry information from you. A better approach is to feed some information to the informer of your family, and retain your privacy on others. Your family will assume that you are an open book, and you can maintain a certain amount of anonymity.
The first thing you need to do is determine how your issue may affect the family. Assuming that you live separately from your siblings and parents, you must determine what the likelihood is of them discovering the issue. If you are going to be arrested, for example, it's best to give them at least some details. They are going to find out, and it's going to be worse for you. If you are having marital trouble? There is no need to say anything unless you are actually filing for divorce. The smallest of squabbles between a couple will turn into a full-blown fistfight once the news reaches Aunt Edna in Des Moines.
If you are actually "caught" by a member of your family doing something you don't care to share, you have two options. Deny, and/or create a plausible cover story. If you are caught dancing naked on a bar at 3:00 in the afternoon, remember that it is going to be your word against theirs. Were there pictures taken? If so, it's time to face the music with a good cover. Maybe you were dancing for charity? An unfortunate medication interaction? Be creative.
The bottom line is that it is your life. You don't have to listen to interfering relatives. If you don't want their advice, don't ask for it. If they volunteer their wisdom, listen to them politely and move on. Granted, listening to your sister's diatribe on how you wasted your life by not marrying for money is bothersome, but do you truly care? The only thing you can control is your reaction to their meddling. They aren't going to stop, you might as well have fun with it.